A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration

zbMath0981.60078MaRDI QIDQ5939264

Marc Yor, Hiroyuki Matsumoto

Publication date: 3 March 2002

Published in: Osaka Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

Bessel processBrownian motion with driftCameron-Martin theoremenlargement of filtrationexponential functionalidentity in law

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Generalizations of martingales (60G48) Local time and additive functionals (60J55)

Related Items (22)

Operator level limit of the circular Jacobi β-ensemble ⋮ A note on switching property for squared Bessel process ⋮ Conditional Default Probability and Density ⋮ Extensions of Bougerol's identity in law and the associated anticipative path transformations ⋮ Large deviations of the free energy in the O'Connell-Yor polymer ⋮ Explicit Expressions of the Hua--Pickrell Semigroup ⋮ Stationary measures for the log-gamma polymer and KPZ equation in half-space ⋮ Invariance of Brownian motion associated with exponential functionals ⋮ Exponential functionals of Brownian motion and class-one Whittaker functions ⋮ Interpretation via Brownian motion of some independence properties between GIG and gamma variables. ⋮ Stationary measures for integrable polymers on a strip ⋮ A multi-dimensional version of Lamperti's relation and the Matsumoto-Yor processes ⋮ Another look at the Hartman-Watson distributions ⋮ Brownian analogues of Burke's theorem. ⋮ Conditioned stochastic differential equations: theory, examples and application to finance. ⋮ K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions ⋮ Invariance formulas for stopping times of squared Bessel process ⋮ Tree structured independence for exponential Brownian functionals ⋮ On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof ⋮ Hitting times of interacting drifted Brownian motions and the vertex reinforced jump process ⋮ Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions. ⋮ On the distribution of verhulst process

This page was built for publication: A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration