Exponential functionals of Brownian motion and disordered systems
Alain Comtet 1, Cecile Monthus 1, Marc Yor 2 Journal of Applied Probability 35 (1998) 255-271 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 […]
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