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Sur certaines fonctionnelles exponentielles du mouvement brownien réel
3 references·14 citing·43 second hop
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this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1991Continuous Martingales and Brownian Motion1,957 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited

Cited by

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  • 2004Generalised Ornstein-Uhlenbeck Processes and the Convergence of Lévy Integrals48 cited
  • 2005Properties of perpetual integral functionals of Brownian motion with drift46 cited
  • 1992On some exponential functionals of Brownian motion45 cited
  • 2012Approximations for Asian options in local volatility models40 cited
  • 2001A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration39 cited

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  • 2005Asymmetric skew Bessel processes and their applications to finance28 cited
  • 2005Perpetual Integral Functionals as Hitting and Occupation Times26 cited
  • 2006Hitting distributions of geometric Brownian motion25 cited