Exponential functionals of Brownian motion. II: Some related diffusion processes
From MaRDI portal
Publication:980744
DOI10.1214/154957805100000168zbMath1189.91232arXivmath/0511519OpenAlexW3099672352MaRDI QIDQ980744
Publication date: 29 June 2010
Published in: Probability Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0511519
Brownian motion (60J65) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)
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