Exponential Functionals of Brownian Motion and Related Processes

By:

Marc Yor

Format:

Paperback / softback

Series:

Springer Finance Lecture Notes

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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 Levy processes are indicated. Some papers originally published in French are made available in English for the first time.

Release date Australia

August 14th, 2001

Author

Marc Yor

Audiences

Postgraduate, Research & Scholarly
Professional & Vocational
Undergraduate

Edition

Softcover reprint of the original 1st ed. 2001

Illustrations

X, 206 p.

Pages

206

Series

Springer Finance Lecture Notes

Dimensions

156x234x11

ISBN-13

9783540659433

Product ID

5268851

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