Titlebook: Exponential Functionals of Brownian Motion and Related Processes; Marc Yor Book 2001 Springer-Verlag Berlin Heidelberg 2001 Asian options.

Abrade

fastness

,On Exponential Functionals of Certain Lévy Processes, 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 semi-stable Markov processes.

inhumane

Exponential Functionals of Brownian Motion and Disordered Systems,nd 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.

TRAWL

Marc YorThese papers were so far available only in journals, several of them only in French..Collected together here in English, they are accompanied by a foreword by H. Geman, professor of Finance at the Uni

商議

組成

Visual-Acuity

https://doi.org/10.1007/978-3-031-45994-8Let (B.,t ≥ 0) denote a real-valued Brownian motion starting from 0, and let . be a real.

Yag-Capsulotomy

Psychische und Verhaltensst?rungen (F00–F99)This paper studies the moments of some exponential-integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options.

分離

防御