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Exponential Functionals of Brownian Motion and Disordered Systems

J. Appl. Prob. 35 (1998), 255–271 (with Alain Comtet and Cécile Monthus)

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Exponential Functionals of Brownian Motion and Related Processes

Part of the book series: Springer Finance ((SFLN))

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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Authors and Affiliations

  1. Laboratoire de Probabilités et Modèles Aléatoires, Université de Paris VI, 175, rue du Chevaleret, 75013, Paris, France

    Marc Yor

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  1. Marc Yor
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© 2001 Springer-Verlag Berlin Heidelberg

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Yor, M. (2001). Exponential Functionals of Brownian Motion and Disordered Systems. In: Exponential Functionals of Brownian Motion and Related Processes. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-56634-9_11

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  • DOI: https://doi.org/10.1007/978-3-642-56634-9_11

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-65943-3

  • Online ISBN: 978-3-642-56634-9

  • eBook Packages: Springer Book Archive

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