Exponential functionals of Brownian motion and disordered systems
arXiv:cond-mat/9601014
Abstract
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.
18 pages