Physics – Condensed Matter
Scientific paper
1996-01-05
J. Appl. Proba. 35 (1998) 255
Physics
Condensed Matter
18 pages
Scientific paper
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.
Comtet Alain
Monthus Cecile
Yor Marc
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