Work

Exponential functionals of Brownian motion, II: Some related diffusion processes

Year: 2005

Type: article

Abstract: This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy’s and Pitman’s theorems are discussed.

Source: Probability Surveys

DOI: 10.1214/154957805100000168

Authors: Hiroyuki Matsumoto, Marc Yor

Institutions: Nagoya University, Institut Universitaire de France, Université Pierre-et-Marie-Curie

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $675

OpenAlex ID: W2102811090