Exponential functionals of Brownian motion and related processes
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(only showing first 100 items - show all)- Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
- Law of the exponential functional of one-sided Lévy processes and Asian options
- Bounds for present value functions with stochastic interest rates and stochastic volatility.
- On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
- AIMD algorithms and exponential functionals
- Tail estimates for exponential functionals and applications to SDEs
- Stable windings at the origin
- Bernstein-gamma functions and exponential functionals of Lévy processes
- On an ordering-dependent generalization of the Tutte polynomial
- The pricing of Asian options in uncertain volatility model
- A matrix Bougerol identity and the Hua-Pickrell measures
- On the minimal travel time needed to collect \(n\) items on a circle.
- Hitting times of Bessel processes
- Bougerol's identity in law and extensions
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- Extended Black and Scholes model under bankruptcy risk
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Some random paths with angle constraints
- On Doney's striking factorization of the arc-sine law
- A transformation for spectrally negative Lévy processes and applications
- Integral representations for the Hartman-Watson density
- Density estimates for the exponential functionals of fractional Brownian motion
- Global existence and finite time blow-up for a stochastic non-local reaction-diffusion equation
- Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes
- On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable
- Point-to-line last passage percolation and the invariant measure of a system of reflecting Brownian motions
- The Hunter-Saxton equation with noise
- Persistence and exit times for some additive functionals of skew Bessel processes
- Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
- Large time behavior of reaction-diffusion equations with Bessel generators
- Solvency need resulting from reserving risk in a ORSA context
- A Hoeffding's inequality for uniformly ergodic diffusion process
- Kolmogorov distance between the exponential functionals of fractional Brownian motion
- Coupling all the Lévy stochastic areas of multidimensional Brownian motion
- Exponential integrability of Itô's processes
- Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion
- Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion
- Bounds for in-progress floating-strike Asian options using symmetry
- A note on the CIR process and the existence of equivalent martingale measures
- Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions.
- Completeness of security markets and solvability of linear backward stochastic differential equations
- Tail asymptotics for exponential functionals of Lévy processes
- Discrete sums of geometric Brownian motions, annuities and Asian options
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
- Asymmetric skew Bessel processes and their applications to finance
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
- Existence of a fundamental solution of partial differential equations associated to Asian options
- Extensions of Bougerol's identity in law and the associated anticipative path transformations
- Distribution of the time to explosion for one-dimensional diffusions
- Poisson kernels on nilpotent, 3-meta-abelian groups
- Limit theorems for discounted convergent perpetuities. II
- On two-dimensional extensions of Bougerol's identity in law
- Bessel processes, stochastic volatility, and timer options
- Large Deviations for Clocks of Self-similar Processes
- Explicit formulae in probability and in statistical physics
- On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model
- Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion
- Exit times densities of the Bessel process
- A generalization of geometric Brownian motion with applications
- Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks
- Another look at the integral of exponential Brownian motion and the pricing of Asian options
- Limiting laws associated with Brownian motion perturbed by normalized exponential weights, I
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
- The square-root process and Asian options
- A note on some new perpetuities
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization
- Asymptotic behavior of distribution densities in models with stochastic volatility. I.
- On constructive complex analysis in finance: Explicit formulas for Asian options
- On regularity properties of Bessel flow
- scientific article; zbMATH DE number 3909449 (Why is no real title available?)
- Sur certaines fonctionnelles exponentielles du mouvement brownien réel
- On some exponential functionals of Brownian motion
- Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared
- Law of the absorption time of some positive self-similar Markov processes
- A scaling analysis of a cat and mouse Markov chain
- Impacts of Gaussian noises on the blow-up times of nonlinear stochastic partial differential equations
- An exponential functional of random walks
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- A refined factorization of the exponential law
- Hedging processes for catastrophe options
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
- The log-normal approximation in financial and other computations
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- scientific article; zbMATH DE number 206027 (Why is no real title available?)
- Maximal distance travelled by \(N\) vicious walkers till their survival
- Geometric bounds on certain sublinear functionals of geometric Brownian motion
- On exponential functionals of Lévy processes
- Global and non-global solutions of a fractional reaction-diffusion equation perturbed by a fractional noise
- Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
- Large deviations for the density and current in non-equilibrium-steady-states on disordered rings
- Stochastic life annuities
- Continuous-time perpetuities and time reversal of diffusions
- Large deviations at various levels for run-and-tumble processes with space-dependent velocities and space-dependent switching rates
- Asymptotic expansions for the first hitting times of Bessel processes
- Windings of planar processes, exponential functionals and Asian options
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