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ArticleProperties of perpetual integral functionals of Brownian motion with drift

Paavo Salminen2005

Article2005

Properties of perpetual integral functionals of Brownian motion with drift

Paavo Salminen · Marc Yor

46 citations·0/0 files stored·Annales de l Institut Henri Poincaré Probabilités et Statistiques

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Stochastic processes and financial applications Probability and Statistical Research Probability and Risk Models

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References

1996Handbook of Brownian Motion — Facts and Formulae 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding 2001Exponential Functionals of Brownian Motion and Related Processes 1992Sur certaines fonctionnelles exponentielles du mouvement brownien réel

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2012Convergence of integral functionals of one-dimensional diffusions 2009On exponential local martingales associated with strong Markov continuous local martingales 2014ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME‐HOMOGENEOUS DIFFUSIONS 2005Perpetual Integral Functionals as Hitting and Occupation Times

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Year2005

Typearticle

Published2005-04-04

VenueAnnales de l Institut Henri Poincaré Probabilités et Statistiques

ISSN-L0246-0203

Languageen

Citations46

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.anihpb.2004.01.006

openalex_workW2001084872

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