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Exponential functionals of Brownian motion and related processes / Marc Yor.
LIBRA HF5691 .Y67 2001
Available from offsite location
- Format:
- Book
- Author/Creator:
- Yor, Marc.
- Series:
- Springer finance
- Language:
- English
- Subjects (All):
- Business mathematics.
- Finance--Mathematical models.
- Finance.
- Brownian motion processes.
- Physical Description:
- vii, 203 pages ; 24 cm.
- Place of Publication:
- Berlin ; New York : Springer, [2001]
- Summary:
- This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of L??vy processes are indicated. Some papers originally published in French are made available in English for the first time.
- Notes:
- Includes bibliographical references.
- ISBN:
- 3540659439
- OCLC:
- 48083819
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