Exponential functionals of Brownian motion and disordered systems

Alain Comtet; Cécile Monthus; Marc Yor

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arXiv · cond-mat/9601014

Exponential functionals of Brownian motion and disordered systems

Alain Comtet·Cécile Monthus·Marc Yor

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Abstract

The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.

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Alain Comtet, Cécile Monthus, Marc Yor. 1996-01-05. Exponential functionals of Brownian motion and disordered systems. https://arxiv.org/abs/cond-mat/9601014

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