On Exponential Functionals of Brownian Motion and Related Processes
1 edition
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Word Count
50,750 words, Guess
Page Count
203 pages
Physical Format
Paperback
Identifiers
- Open LibraryOL9062974M
- ISBN-139783540659433
- ISBN-103540659439
- OCLC Control Number48083819
- OCLC Control Numberexponentialfunct00yorm
and 2 more
- Library of Congress Control Number2001020860
- Goodreads1530487
Classifications
- LCCHF5691 .Y67 2001
Description
This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time.
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