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Exponential functionals of Brownian motion, I: Probability laws at fixed time

Hiroyuki Matsumoto·Marc Yor
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Abstract

This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.

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Hiroyuki Matsumoto, Marc Yor. 2005-11-21. Exponential functionals of Brownian motion, I: Probability laws at fixed time. https://doi.org/10.1214/154957805100000159

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