On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
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Publication:5933703
DOI10.1023/A:1010308203346zbMath1062.60080OpenAlexW1639487148MaRDI QIDQ5933703
Catherine Donati-Martin, Marc Yor, Hiroyuki Matsumoto
Publication date: 22 June 2005
Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1010308203346
Related Items (7)
Another look at the integral of exponential Brownian motion and the pricing of Asian options ⋮ A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor ⋮ Stationary measures for the log-gamma polymer and KPZ equation in half-space ⋮ The Brownian motion on 𝐴𝑓𝑓(ℝ) and quasi-local theorems ⋮ On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values ⋮ Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion ⋮ A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor
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