Exponential functionals of Brownian motion, II: Some related diffusion processes
نویسندگان
چکیده
This is the second part of our survey on exponential functionals of Brownian motion. We focus on the applications of the results about the distributions of the exponential functionals, which have been discussed in the first part. Pricing formula for call options for the Asian options, explicit expressions for the heat kernels on hyperbolic spaces, diffusion processes in random environments and extensions of Lévy’s and Pitman’s theorems are discussed. AMS 2000 subject classifications: Primary 60J65; secondary 60J60, 60H30.
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