Tree structured independence for exponential Brownian functionals

DOI10.1016/j.spa.2009.07.008zbMath1176.60074MaRDI QIDQ734668

Hiroyuki Matsumoto, Jacek Wesołowski, Piotr Witkowski

Publication date: 13 October 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.07.008

zbMATH Keywords

Brownian motion; gamma distribution; generalized inverse Gaussian distribution; exponential Brownian functionals; directed and undirected trees; independence properties; initial enlargements of filtrations

Mathematics Subject Classification ID

60E05: Probability distributions: general theory

60J65: Brownian motion

Related Items

Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property, On the Matsumoto-Yor type regression characterization of the gamma and Kummer distributions

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