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Showing 2009 · math.PRShow all
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math.PR2009★ 11 cited
Law of the exponential functional of one-sided Lévy processes and Asian options
Pierre Patie
The purpose of this note is to describe, in terms of a power series, the distribution function of the exponential functional, taken at some independent exponential time, of a spect…
math.PR2009
Boundary crossing identities for diffusions having the time inversion property
Larbi Alili, Pierre Patie
We review and study a one-parameter family of functional transformations, denoted by , which, in the case , provides a path realization of bridges associa…