On Exponential Functionals of Brownian Motion and Related Processes

On Exponential Functionals of Brownian Motion and Related Processes

Editorial Reviews
Book Description
This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time.

Book Info
Collection of papers concerning the laws of geometric Brownian motions and their time-integrals. Softcover.

On Exponential Functionals of Brownian Motion and Related Processes,Marc Yor,Springer,3540659439,Applied,Brownian motion processes,Business mathematics,Finance,Markov Processes,Mathematical models,Mathematics,Probability & Statistics - General,Science/Mathematics,Asian options,Bessel functions,Bessel processes,Functional analysis,Geometric Brownian motion,Mathematics / Statistics,Probability & statistics,beta-gamma variables

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Book Details

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