NDLI: Exponential functionals of Brownian motion and disordered systems

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Exponential functionals of Brownian motion and disordered systems

Content Provider	Scilit
Author	Comtet, Alain Monthus, Cécile Yor, Marc
Copyright Year	1998
Description	The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts, such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.
Related Links	http://arxiv.org/pdf/cond-mat/9601014 https://www.cambridge.org/core/services/aop-cambridge-core/content/view/91B8F0D901D97EAC700824959E98A2C4/S0021900200014923a.pdf/div-class-title-exponential-functionals-of-brownian-motion-and-disordered-systems-div.pdf
Ending Page	271
Page Count	17
Starting Page	255
ISSN	00219002
e-ISSN	14756072
DOI	10.1017/s0021900200014923
Journal	Journal of applied probability
Issue Number	02
Volume Number	35
Language	English
Publisher	Cambridge University Press (CUP)
Publisher Date	1998-06-01
Access Restriction	Open
Subject Keyword	Journal of applied probability Applied Mathematics Exponentials of Brownian Motion Disordered Systems Partition Function Free Energy
Content Type	Text
Resource Type	Article
Subject	Statistics and Probability Statistics, Probability and Uncertainty

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