Abstract
In this paper, distributional questions which arise in certain mathematical finance models are studied: the distribution of the integral over a fixed time interval [0, T]of the exponential of Brownian motion with drift is computed explicitly, with the help of computations previously made by the author for Bessel processes. The moments of this integral are obtained independently and take a particularly simple form. A subordination result involving this integral and previously obtained by Bougerol is recovered and related to an important identity for Bessel functions. When the fixed time T is replaced by an independent exponential time, the distribution of the integral is shown to be related to last-exit time distributions and the fixed time case is recovered by inverting Laplace transforms.
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© 2001 Springer-Verlag Berlin Heidelberg
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Yor, M. (2001). On Some Exponential Functionals of Brownian Motion. In: Exponential Functionals of Brownian Motion and Related Processes. Springer Finance. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-56634-9_3
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DOI: https://doi.org/10.1007/978-3-642-56634-9_3
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-65943-3
Online ISBN: 978-3-642-56634-9
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