Article ID: | iaor19992709 |
Country: | United Kingdom |
Volume: | 35 |
Issue: | 2 |
Start Page Number: | 255 |
End Page Number: | 271 |
Publication Date: | Jun 1998 |
Journal: | Journal of Applied Probability |
Authors: | Yor Marc, Comtet Alain, Monthus Ccile |
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.