Exponential functionals of Brownian motion and disordered systems

Alain Comtet; Cecile Monthus; Marc Yor

hal-00003990, version 1

Exponential functionals of Brownian motion and disordered systems

Alain Comtet ¹, Cecile Monthus ¹, Marc Yor ²

Journal of Applied Probability 35 (1998) 255-271

Abstract: The paper deals with exponential functionals of the linear Brownian motion which arise in different contexts such as continuous time finance models and one-dimensional disordered models. We study some properties of these exponential functionals in relation with the problem of a particle coupled to a heat bath in a Wiener potential. Explicit expressions for the distribution of the free energy are presented.

1: Laboratoire de Physique Théorique et Modèles Statistiques (LPTMS)
CNRS : UMR8626 – Université Paris XI - Paris Sud
2: Laboratoire de Probabilités et Modèles Aléatoires (LPMA)
CNRS : UMR7599 – Université Pierre et Marie Curie [UPMC] - Paris VI – Université Paris VII - Paris Diderot

hal-00003990, version 1
http://hal.archives-ouvertes.fr/hal-00003990
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From: Claudine Le Vaou <>
Submitted on: Friday, 21 January 2005 14:56:38
Updated on: Friday, 21 January 2005 14:56:38

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arXiv: cond-mat/9601014

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