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- W3099672352 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." @default.
- W3099672352 created "2020-11-23" @default.
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- W3099672352 date "2005-01-01" @default.
- W3099672352 modified "2023-10-16" @default.
- W3099672352 title "Exponential functionals of Brownian motion, II: Some related diffusion processes" @default.
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- W3099672352 doi "https://doi.org/10.1214/154957805100000168" @default.
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