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An analogue of Pitman’s 2M – Xtheorem for exponential Wiener functionals: Part I: A time-inversion approach
3 references·6 citing·26 second hop
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this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 2001On Some Exponential Functionals of Brownian Motion290 cited
  • 2001On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options77 cited

Cited by

  • 2004The spectral representation of Bessel processes with constant drift: applications in queueing and finance42 cited
  • 2001A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration39 cited
  • 2005Bessel Processes and Asian Options30 cited
  • 2003On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts28 cited
  • 2005Perpetual Integral Functionals as Hitting and Occupation Times26 cited
  • 2003On the integral of geometric Brownian motion26 cited

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