Pages that link to "Item:Q4014074"
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The following pages link to On some exponential functionals of Brownian motion (Q4014074):
Displaying 50 items.
- On an ordering-dependent generalization of the Tutte polynomial (Q1675352) (← links)
- Asymptotic results for exponential functionals of Lévy processes (Q1683810) (← links)
- Exponential functionals of Lévy processes and variable annuity guaranteed benefits (Q1713470) (← links)
- On the distribution of extended CIR model (Q1726700) (← links)
- On moments of integral exponential functionals of additive processes (Q1726859) (← links)
- Analytic moment and Laplace transform formulae for the quasi-stationary distribution of the Shiryaev diffusion on an interval (Q1757249) (← links)
- Distributions for the risk process with a stochastic return on investments. (Q1766007) (← links)
- On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof (Q1827551) (← links)
- An extension of Seshadri's identities for Brownian motion (Q1871298) (← links)
- Contingent claims on assets with conversion costs. (Q1873082) (← links)
- Arbitrage possibilities in Bessel processes and their relations to local martingales (Q1895852) (← links)
- A second order stochastic differential equation for the force of interest (Q1902633) (← links)
- Integral functionals for the exponential of the Wiener process and the Brownian bridge: exact asymptotics and Legendre functions (Q1938632) (← links)
- Hedging for the long run (Q1938979) (← links)
- The Lyapunov exponent of products of random \(2\times 2\) matrices close to the identity (Q1942210) (← links)
- Bougerol's identity in law and extensions (Q1950172) (← links)
- Present value distributions with applications to ruin theory and stochastic equations (Q1965872) (← links)
- Asymptotic results for heavy-tailed Lévy processes and their exponential functionals (Q1983635) (← links)
- Another look at the Hartman-Watson distributions (Q2006374) (← links)
- Risk-sensitive asset management with lognormal interest rates (Q2036891) (← links)
- Small-\(t\) expansion for the Hartman-Watson distribution (Q2065487) (← links)
- Laplacian and Brownian motion on positive definite matrices, revisited (Q2105362) (← links)
- Integral representations for the Hartman-Watson density (Q2116476) (← links)
- High temperature behaviors of the directed polymer on a cylinder (Q2116513) (← links)
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model (Q2119453) (← links)
- Expressions of forward starting option price in Hull-White stochastic volatility model (Q2145694) (← links)
- Finite-time blow-up of a non-local stochastic parabolic problem (Q2196381) (← links)
- On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable (Q2196538) (← links)
- Revisiting integral functionals of geometric Brownian motion (Q2197607) (← links)
- On the evaluation of an integral involving the Whittaker \(W\) function (Q2199771) (← links)
- On the boundary local time measure of super-Brownian motion (Q2201479) (← links)
- On the problems of sequential statistical inference for Wiener processes with delayed observations (Q2208379) (← links)
- The Hunter-Saxton equation with noise (Q2208456) (← links)
- On the distribution of the time-integral of the geometric Brownian motion (Q2237931) (← links)
- Pricing vulnerable claims in a Lévy-driven model (Q2255005) (← links)
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options (Q2274018) (← links)
- On the pricing of Asian options with geometric average of American type with stochastic interest rate: a stochastic optimal control approach (Q2274620) (← links)
- Solvency need resulting from reserving risk in a ORSA context (Q2282735) (← links)
- The dimension of the boundary of super-Brownian motion (Q2312682) (← links)
- Optimal portfolio choice and consistent performance (Q2343112) (← links)
- Intrinsic expansions for averaged diffusion processes (Q2360242) (← links)
- An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach (Q2404186) (← links)
- The Lamperti representation of real-valued self-similar Markov processes (Q2435251) (← links)
- Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion (Q2436060) (← links)
- Analytical calculation of risk measures for variable annuity guaranteed benefits (Q2447419) (← links)
- Properties of perpetual integral functionals of Brownian motion with drift (Q2485315) (← links)
- Ruin probabilities and penalty functions with stochastic rates of interest (Q2485766) (← links)
- On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields (Q2511562) (← links)
- Discrete sums of geometric Brownian motions, annuities and Asian options (Q2520429) (← links)
- Ruin probabilities for a~risk process with stochastic return on investments. (Q2574640) (← links)
