Exponential functionals of Brownian motion, I: Probability laws at fixed time

Hiroyuki Matsumoto, Marc Yor
2005 Probability Surveys  
This paper is the first part of our survey on various results about the distribution of exponential type Brownian functionals defined as an integral over time of geometric Brownian motion. Several related topics are also mentioned.
doi:10.1214/154957805100000159 fatcat:qdhcnjxh4nebtfvpw7ctr6sngy