J an 1 99 6 EXPONENTIAL FUNCTIONALS OF BROWNIAN MOTION AND DISORDERED SYSTEMS

@inproceedings{Comtet1995JA1,
  title={J an 1 99 6 EXPONENTIAL FUNCTIONALS OF BROWNIAN MOTION AND DISORDERED SYSTEMS},
  author={Alain Comtet and C{\'e}cile Monthus and Marc Yor},
  year={1995}
}
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. Electronic addresses : comtet@ipncls.in2p3.fr monthus@amoco.saclay.cea.fr November 1995… CONTINUE READING

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