2001 | OriginalPaper | Buchkapitel
On Certain Exponential Functionals of Real-Valued Brownian Motion
J. Appl. Prob. 29 (1992), 202–208
verfasst von : Marc Yor
Erschienen in: Exponential Functionals of Brownian Motion and Related Processes
Verlag: Springer Berlin Heidelberg
Enthalten in: Professional Book Archive
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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 obtained explicitly.