Articlegold2005

Exponential functionals of Brownian motion, II: Some related diffusion processes

94 citations0/0 files storedProbability Surveys

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Stochastic processes and financial applications Stochastic processes and statistical mechanics Probability and Risk Models

Abstract

This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy’s and Pitman’s theorems are discussed.

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