Skip to main content

On Certain Exponential Functionals of Real-Valued Brownian Motion

J. Appl. Prob. 29 (1992), 202–208

  • Chapter
  • 1160 Accesses

Part of the book series: Springer Finance ((SFLN))

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.

This is a preview of subscription content, log in via an institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   39.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   54.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. Dufresne, D. (1990). The distribution of a perpetuity, with applications to risk theory and pension funding. Scand. Actuarial J., 39–79

    Google Scholar 

  2. Getoor, R.K. (1979). The Brownian escape process. Ann. Probab., 7, 864–867

    Article  MathSciNet  MATH  Google Scholar 

  3. Pitman, J.W. and Yor, M. (1981). Bessel processes and infinitely divisible laws. In ‘Stochastic Integrals’ (Lecture Notes in Mathematics, vol. 851) ed. D. Williams, Springer, Berlin, 285–370

    Chapter  Google Scholar 

  4. Revuz, D. and Yor, M. (1991). Continuous Martingales and Brownian Motion, Springer, Berlin

    MATH  Google Scholar 

  5. Sharpe, M. (1980). Some transformations of diffusions by time reversal. Ann. Probab., 1157–1162

    Google Scholar 

  6. Williams, D. (1974). Path decomposition and continuity of local time for onedimensional diffusions. Proc. Land. Math. Soc., 28, 738–768

    Article  MATH  Google Scholar 

  7. Yor, M. (1984). A propos de l’inverse du mouvement brownien dans Rn (n ≥ 3). Ann. Inst. Henri Poincaré, Probab. Stat., 21, 27–38

    MathSciNet  Google Scholar 

  8. Yor, M. (1990). Sur les décompositions affines d’une variable stable d’indice. [See point e) of the Postscript ]

    Google Scholar 

Download references

Author information

Authors and Affiliations

Authors

Rights and permissions

Reprints and permissions

Copyright information

© 2001 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

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

Download citation

  • 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

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics