SF: Exponential functionals of Brownian motion and related processes布郞运动及相关过程的指数函数
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作者： Marc Yor 著
出 版 社： 广东教育出版社
出版时间： 2001-9-1字数：版次： 1页数： 203印刷时间： 2001/09/01开本： 16开印次： 1纸张： 胶版纸I S B N ： 9783540659433包装： 平装内容简介
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.
目录
Preface
0. Functionals of Brownian Motion in Finance and in Insurance
1. On Certain Exponential Functionals of Real-Valued Brownian Motion
2. On Some Exponential Functionals of Brownian Motion
3. Some Relations between Bessel Processes, Asian Options and Confluent Hypergeometric Functions
4. The Laws of Exponential Functionals of Brownian
5. Bessel Processes, Asian Options, and Perpetuities
6. Further Results on Exponential Functionals of Brownian Motion
7. From Planar Brownian Windings to Asian Options
8. On Exponential Functionals of Certain Levy Processes
9. On Some Exponential-integral Functionals of Bessel Processes
10. Exponential Functionals of Brownian Motion and Disordered Systems
Index