Titlebook: Exponential Functionals of Brownian Motion and Related Processes; Marc Yor Book 2001 Springer-Verlag Berlin Heidelberg 2001 Asian options.

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,On Exponential Functionals of Certain Lévy Processes, exponential time, to the case where ξ belongs to a certain class of Lévy processes. Our method hinges on a bijection, introduced by Lamperti, between exponentials of Lévy processes and semi-stable Markov processes.

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Exponential Functionals of Brownian Motion and Disordered Systems,nd one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.

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Marc YorThese papers were so far available only in journals, several of them only in French..Collected together here in English, they are accompanied by a foreword by H. Geman, professor of Finance at the Uni

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https://doi.org/10.1007/978-3-031-45994-8Let (B.,t ≥ 0) denote a real-valued Brownian motion starting from 0, and let . be a real.

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Psychische und Verhaltensstörungen (F00–F99)This paper studies the moments of some exponential-integral functionals of Bessel processes, which are of interest in some questions of mathematical finance, including the valuation of perpetuities and Asian options.

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