Exponential functionals of Brownian motion and disordered systems
From MaRDI portal
Publication:4215674
DOI10.1239/jap/1032192845zbMath0929.60063arXivcond-mat/9601014OpenAlexW2110802745MaRDI QIDQ4215674
Marc Yor, Cécile Monthus, Alain Comtet
Publication date: 16 January 2000
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/cond-mat/9601014
Related Items
Optimal importance sampling for continuous Gaussian fields ⋮ Another look at the integral of exponential Brownian motion and the pricing of Asian options ⋮ Optimal importance sampling for the Laplace transform of exponential Brownian functionals ⋮ Long-run growth rate in a random multiplicative model ⋮ PRICING EQUITY DERIVATIVES SUBJECT TO BANKRUPTCY ⋮ An analytic expression for the distribution of the generalized Shiryaev-Roberts diffusion. The Fourier spectral expansion approach ⋮ Monte Carlo computation of the Laplace transform of exponential Brownian functionals ⋮ Extensions of Bougerol's identity in law and the associated anticipative path transformations ⋮ On the growth rate of a linear stochastic recursion with Markovian dependence ⋮ Statistical inference for generalized Ornstein-Uhlenbeck processes ⋮ On distributions of functionals of anomalous diffusion paths ⋮ Asymptotics for the Laplace transform of the time integral of the geometric Brownian motion ⋮ Study of Brownian functionals for a Brownian process model of snow melt dynamics with purely time dependent drift and diffusion ⋮ On two-dimensional extensions of Bougerol's identity in law ⋮ On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable ⋮ Revisiting integral functionals of geometric Brownian motion ⋮ Some recent progress on the stationary measure for the open KPZ equation ⋮ The mean first rotation time of a planar polymer ⋮ On hyperbolic Bessel processes and beyond ⋮ Maximal distance travelled by \(N\) vicious walkers till their survival ⋮ Fluctuations of random matrix products and 1D Dirac equation with random mass ⋮ Star junctions and watermelons of pure or random quantum Ising chains: finite-size properties of the energy gap at criticality ⋮ Large deviations at various levels for run-and-tumble processes with space-dependent velocities and space-dependent switching rates ⋮ Asymptotic results for heavy-tailed Lévy processes and their exponential functionals ⋮ Extended Mellin integral representations for the absolute value of the gamma function ⋮ Pricing vulnerable claims in a Lévy-driven model ⋮ The log-normal approximation in financial and other computations ⋮ Unnamed Item ⋮ Calculating independent contrasts for the comparative study of substitution rates ⋮ Tree structured independence for exponential Brownian functionals ⋮ Small-\(t\) expansion for the Hartman-Watson distribution ⋮ On Bougerol and Dufresne's identities for exponential Brownian functionals ⋮ Distribution of the time at which the deviation of a Brownian motion is maximum before its first-passage time ⋮ On positive and negative moments of the integral of geometric Brownian motions ⋮ Large deviations for the density and current in non-equilibrium-steady-states on disordered rings ⋮ Random walk with hyperbolic probabilities ⋮ Wigner–Smith matrix, exponential functional of the matrix Brownian motion and matrix Dufresne identity ⋮ Two stock options at the races: Black–Scholes forecasts ⋮ Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential ⋮ On the distribution of verhulst process