Hiroyuki Matsumoto, Marc Yor
Published 2005-11-21Version 1
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
Comments: Published at http://dx.doi.org/10.1214/154957805100000159 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)
Journal: Probability Surveys 2005, Vol. 2, 312-347
Hitting distributions of geometric Brownian motion
Exponential functionals of Brownian motion and class-one Whittaker functions
On the integral of geometric Brownian motion
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