EXPONENTIAL FUNCTIONALS OF BROWNIAN-MOTION AND DISORDERED-SYSTEMS

Authors
COMTET A MONTHUS C YOR M
Citation
A. Comtet et al., EXPONENTIAL FUNCTIONALS OF BROWNIAN-MOTION AND DISORDERED-SYSTEMS, Journal of Applied Probability, 35(2), 1998, pp. 255-271
Citations number
35
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Applied Probability → ACNP
ISSN journal
00219002
Volume
35
Issue
2
Year of publication
1998
Pages
255 - 271
Database
ISI
SICI code
0021-9002(1998)35:2<255:EFOBAD>2.0.ZU;2-Q
Abstract
The paper deals with exponential functionals of the linear Brownian mo tion which arise in different contexts, such as continuous time financ e models and one-dimensional disordered models. We study some properti es of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expres sions for the distribution of the free energy are presented.