1996/01/05 by Alain Comtet, Cécile Monthus, Marc Yor
Physics and Astronomy · #cond-mat
published as J. Appl. Proba. 35 (1998) 255 · 18 pages
arxiv created 1996/01/05 · arxiv updated 2009/11/30
The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.