On some exponential functionals of Brownian motion

DOI10.2307/1427477zbMATH Open0765.60084OpenAlexW4242317941MaRDI QIDQ4014074FDOQ4014074

Authors: Marc Yor

Publication date: 4 October 1992

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.240.9976

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scientific article; zbMATH DE number 1163906

zbMATH Keywords

Brownian motion Bessel processes Laplace transforms last- exit-time distributions mathematical finance models

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Brownian motion (60J65)

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