Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.
DOI10.2977/PRIMS/1145477226zbMATH Open1033.60085OpenAlexW2003732173MaRDI QIDQ1596544FDOQ1596544
Authors: Catherine Donati-Martin, Hiroyuki Matsumoto, Marc Yor 
Publication date: 20 March 2004
Published in: Publications of the Research Institute for Mathematical Sciences, Kyoto University (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2977/prims/1145477226
Recommendations
stochastic differential equationgeometric Brownian motionanticipative transformationDufresne's identity
Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
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- An affine property of the reciprocal Asian option process
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- A version of Pitman's 2M — X theorem for geometric Brownian motions
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- Equations différentielles stochastiques dans avec conditions aux bords
- Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
- A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
- A conditional approach to the anticipating Girsanov transformation
Cited In (10)
- Markov limits of steady states of the KPZ equation on an interval
- A note on switching property for squared Bessel process
- Invariance of Brownian motion associated with exponential functionals
- Conditioned stochastic differential equations: theory, examples and application to finance.
- On the distribution of verhulst process
- A Girsanov-type formula for a class of anticipative transforms of Brownian motion associated with exponential functionals
- Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
- Invariance formulas for stopping times of squared Bessel process
- On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof
- Extensions of Bougerol's identity in law and the associated anticipative path transformations
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