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Exponential Functionals of Brownian Motion and Related ~ This monograph contains ten papers written by the author and coauthors between December 1988 and October 1998 about certain exponential functionals of Brownian motion and related processes which have been and still are of interest during at least the last decade to researchers in Mathematical finance an introduction to the subject

Exponential Functionals of Brownian Motion and Related ~ This monograph contains ten papers written by the author and coauthors between December 1988 and October 1998 about certain exponential functionals of Brownian motion and related processes which have been and still are of interest during at least the last decade to researchers in

On Some Exponential Functionals of Brownian Motion ~ Brownian Motion Borel Function Asian Option Bessel Process Integral Moment These keywords were added by machine and not by the authors This process is experimental and the keywords may be updated as the learning algorithm improves

Exponential functionals of Brownian motion II Some ~ 175 rue du Chevaleret F75013 Paris France email deaprobafr Abstract This is the second part of our survey on exponential functionals of Brownian motion We focus on the applications of the results about the distributions of the exponential functionals which have been discussed in the first part Pricing formula for call

Exponential functionals of Brownian motion I Probability ~ 175 rue du Chevaleret F75013 Paris France email deaprobafr Abstract This paper is the rst part of our survey on various results about the distribution of exponential type Brownian functionals de ned as an integral over time of geometric Brownian motion Several related topics are also mentioned

Exponential Functionals of Brownian Motion and Disordered ~ Carmona Ph Petit F and Yor M 1997 On the distribution and asymptotic results for exponential functionals of Lévy processes In Exponential Functionals and Principal Values related to Brownian Motion

Further Results on Exponential Functionals of Brownian Motion ~ Yor M 2001 Further Results on Exponential Functionals of Brownian Motion In Exponential Functionals of Brownian Motion and Related Processes Springer Finance Springer Berlin Heidelberg In Exponential Functionals of Brownian Motion and Related Processes

On Exponential Functionals of Certain Lévy Processes ~ In this article we generalize the work of M Yor concerning the law of A T ∫ 0 T exp ξ s ds where ξ is a Brownian motion with drift and T an independent exponential time to the case where ξ belongs to a certain class of Lévy processes Our method hinges on a bijection introduced by Lamperti between exponentials of Lévy processes and semistable Markov processes

Exponential Functionals of Lévy Processes Home Springer ~ Carmona F Petit and M Yor On the distribution and asymptotic results for exponential functionals of Lévy processes in Exponential Functionals and Principal Values Related to Brownian Motion Biblioteca de la Revista Matematica IberoAmericana 1997 73–126

Marc Yor — Wikipédia ~ en Marc Yor Exponential Functionals of Brownian Motion and Related Processes Springer coll « Springer Finance » 2001 203 p en Loïc Chaumont et Marc Yor Exercises in Probability A Guided Tour from Measure Theory to Random Processes via Conditioning Cambridge University Press coll « Cambridge Series in Statistical and Probabilistic Mathematics » 2003 236 p

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