Exponential functionals of Brownian motion, II: Some related diffusion processes
Exponential functionals of Brownian motion, II: Some related diffusion processes
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DOI：
10.1214/154957805100000168
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发表时间：
2005-11
影响因子：
1.6
通讯作者：
Hiroyuki Matsumoto;M. Yor
中科院分区：
文献类型：
--
作者：
Hiroyuki Matsumoto;M. Yor
这是布朗运动指数泛函综述的第二部分。本文着重讨论了第一部分中关于指数泛函分布的结果的应用。讨论了亚式期权看涨期权的定价公式、双曲空间上热核的显式表示、随机环境中的离散过程以及L evy和皮特曼定理的推广. AMS 2000科目分类：小学60 J65;中学60 J60，
This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the rst part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diusion processes in random environments and extensions of L evy's and Pitman's theorems are discussed. AMS 2000 subject classications: Primary 60J65; secondary 60J60,