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Sur certaines fonctionnelles exponentielles du mouvement brownien réel
Part of
- Markov processes
Marc Yor
Journal:

Journal of Applied Probability / Volume 29 / Issue 1 / March 1992

Published online by Cambridge University Press:

14 July 2016, pp. 202-208

Print publication:

March 1992
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Dufresne [1] recently showed that the integral of the exponential of Brownian motion with negative drift is distributed as the reciprocal of a gamma variable. In this paper, it is shown that this result is another formulation of the distribution of last exit times for transient Bessel processes. A bivariate distribution of such integrals of exponentials is also obtained explicitly.

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Sur certaines fonctionnelles exponentielles du mouvement brownien réel