Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion

DOI10.4171/RMI/758zbMath1303.60073arXiv1201.1495OpenAlexW2022651651MaRDI QIDQ2436060

Daniel Dufresne, Marc Yor, Jean Bertoin

Publication date: 21 February 2014

Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.1495

zbMATH Keywords

Brownian motionlocal timeBessel processesexponential functionalBougerol's identity

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (6)

Correlation function of a random scalar field evolving with a rapidly fluctuating Gaussian process ⋮ On two-dimensional extensions of Bougerol's identity in law ⋮ Bougerol's identity in law and extensions ⋮ A matrix Bougerol identity and the Hua-Pickrell measures ⋮ Explicit Formulae in Probability and in Statistical Physics ⋮ A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor

Cites Work

• On positive and negative moments of the integral of geometric Brownian motions
• Bougerol's identity in law and extensions
• Laguerre Series for Asian and Other Options
• The integral of geometric Brownian motion
• Retrieving Information from Subordination
• On some exponential functionals of Brownian motion
• Exercises in Probability
• On Hitting Times of the Winding Processes of Planar Brownian Motion and of Ornstein--Uhlenbeck Processes via Bougerol's identity
• Exponential functionals of Brownian motion and related processes
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion