Abstract
Dufresne [1] recently showed that the integral of the exponential of Brownian motion with negative drift is distributed as the reciprocal of a gamma variable. In this paper, it is shown that this result is another formulation of the distribution of last exit times for transient Bessel processes. A bivariate distribution of such integrals of exponentials is obtained explicitly.
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© 2001 Springer-Verlag Berlin Heidelberg
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Yor, M. (2001). On Certain Exponential Functionals of Real-Valued 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_2
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DOI: https://doi.org/10.1007/978-3-642-56634-9_2
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-540-65943-3
Online ISBN: 978-3-642-56634-9
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