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Perpetual Integral Functionals as Hitting and Occupation Times
14 references·0 citing·35 second hop
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References

  • 2002Handbook of Brownian Motion - Facts and Formulae1,094 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 2001Exponential Functionals of Brownian Motion and Related Processes295 cited
  • 2001The integral of geometric Brownian motion132 cited
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  • 2001An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws77 cited
  • 2000An analogue of Pitman’s 2M – Xtheorem for exponential Wiener functionals: Part I: A time-inversion approach70 cited
  • 2005Properties of perpetual integral functionals of Brownian motion with drift46 cited
  • 1999A version of Pitman's 2M — X theorem for geometric Brownian motions40 cited
  • 2004On a One-Parameter Generalization of the Brownian Bridge and Associated Quadratic Functionals34 cited
  • 2026Sur l'identité de Bougerol pour les fonctionnelles exponentielles du mouvement brownien avec drift33 cited
  • 2003On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts

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