Hiroyuki Matsumoto, Marc Yor
Abstract
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This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
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This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
Key concepts: Mathematics, Geometric Brownian motion, Brownian excursion, Brownian motion, Fractional Brownian motion, Diffusion process, Exponential function, Reflected Brownian motion