Exponential functionals of Brownian motion and class-one Whittaker functions
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Publication:1944671
DOI10.1214/10-AIHP401zbMath1269.60066arXiv0809.2506MaRDI QIDQ1944671
Neil O'Connell, Fabrice Baudoin
Publication date: 26 March 2013
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0809.2506
37K10: Completely integrable infinite-dimensional Hamiltonian and Lagrangian systems, integration methods, integrability tests, integrable hierarchies (KdV, KP, Toda, etc.)
60J65: Brownian motion
22E27: Representations of nilpotent and solvable Lie groups (special orbital integrals, non-type I representations, etc.)
60J55: Local time and additive functionals
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