2005/01/01 by Hiroyuki Matsumoto, Marc Yor
Economics, Econometrics and Finance · Mathematics · #Brownian excursion #Brownian motion #Diffusion process #Exponential function #Financial Risk and Volatility Modeling #Fractional Brownian motion #Geometric Brownian motion #Mathematical analysis #Mathematics #Physics #Reflected Brownian motion #Statistical physics #Statistics #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR #msc:60J65
paper · pdf · doi:10.1214/154957805100000159
published as Probability Surveys 2005, Vol. 2, 312-347 · Published at http://dx.doi.org/10.1214/154957805100000159 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)
openalex publication_date 2005/01/01 · arxiv created 2005/11/21 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/05
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.