Studia Scientiarum Mathematicarum Hungarica
Volume/Issue:
Volume 41: Issue 2
Limiting distributions associated with moments of exponential Brownian functionals
Authors:
Y. Hariya Research Institute for Mathematical Science, Kyoto University, Sakyou-ku, Kyoto, 606-8502, Japan

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M. Yor Laboratoire de Probabilités Et Modéles Aléatoires, Université Paris VI & Université Paris VII, CNRS-UMR Jussieu, Case 188, F-75252 Paris Cedex 05, France

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Pages:
193–242
Online Publication Date:
10 Jun 2021
Publication Date:
01 May 2004
Article Category:
Research Article
DOI:
https://doi.org/10.1556/sscmath.41.2004.2.3
Restricted access

During the last decade, a number of explicit results about the distributions of exponential functionals of Brownian motion with drift: A t ( μ ) = ∫ 0 t   d s  exp {2( B s + μ s)}, have been obtained, often originating with the works of D. Dufresne.

In the present paper, we rely extensively on these results to show the existence of limiting measures as T → ∞ , when the law of { B t + μ t , 0 ≤ _ t ≤ _ T } is perturbed by the Radon-Nikodym density consisting of either of the normalized functionals exp ( − α A T ( μ ) ) or 1 / ( A T ( μ ) ) m . The results exhibit different regimes according to whether μ ≥ _ 0 ,  or  μ < 0 in the first case, and to a partition of the ( μ , m ) -plane in the second case.

Although a large number of similar studies have been made for, say, one-dimensional diffusions, the present study, which focuses upon Brownian exponential functionals, appears to be new.

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Studia Scientiarum Mathematicarum Hungarica
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1588-2896

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2021  
Web of Science  
Total Cites
WoS		 589
Journal Impact Factor 0,739
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5 Year
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Scopus
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2020  
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WoS
Journal
Impact Factor		 0,855
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Impact Factor  
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5 Year 1,703
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Journal  0,68
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Scimago 24
H-index
Scimago 0,307
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2019  
Total Cites
WoS		 463
Impact Factor 0,468
Impact Factor
without
Journal Self Cites		 0,468
5 Year
Impact Factor		 0,413
Immediacy
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Citable
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Reviews		 0
Cited
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Citable Items		 100,00
Normalized
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Average
IF
Percentile		 13,117
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H-index		 23
Scimago
Journal Rank		 0,234
Scopus
Scite Score		 76/104=0,7
Scopus
Scite Score Rank		 General Mathematics 247/368 (Q3)
Scopus
SNIP		 0,671
Acceptance
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Studia Scientiarum Mathematicarum Hungarica
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