scientific article; zbMATH DE number 503138

MaRDI QIDQ4279447zbMATH OpenFDO

Authors Kiyoshi Kawazu, Hiroshi Tanaka

Publication date 7 March 1994

Full work available at URL http://www.numdam.org/item?id=SPS_1993__27__78_0, https://eudml.org/doc/113861

zbMATH Keywords

Brownian motionCameron-Martin-Maruyama-Girsanov formulaexponential functional

Mathematics Subject Classification ID

Diffusion processes (60J60) Brownian motion (60J65)

Cited in

(16)

• On Bougerol and Dufresne's identities for exponential Brownian functionals
• An analytical inversion of a Laplace transform related to annuities certain
• The mean velocity of a Brownian motion in a random Lévy potential
• Asymptotic results for exponential functionals of Lévy processes
• Large deviations for a Brownian motion in a drifted Brownian potential
• Approximations for the maximum of a vector-valued stochastic process with drift
• On the time of the maximum of Brownian motion with drift
• Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
• On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable
• Penalizing fractional Brownian motion for being negative
• Asymptotic behaviour of exponential functionals of Lévy processes with applications to random processes in random environment
• scientific article; zbMATH DE number 2050989 (Why is no real title available?)
• The maximum of the local time of a diffusion process in a drifted Brownian potential
• Estimates on the speedup and slowdown for a diffusion in a drifted Brownian potential
• Asymptotic behavior of stochastic processes in random environments
• Annealed tail estimates for a Brownian motion in a drifted Brownian potential

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