Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.

DOI10.2977/prims/1145477226zbMath1033.60085OpenAlexW2003732173MaRDI QIDQ1596544

Hiroyuki Matsumoto, Catherine Donati-Martin, 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

zbMATH Keywords

stochastic differential equationgeometric Brownian motionanticipative transformationDufresne's identity

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Related Items (9)

A note on switching property for squared Bessel process ⋮ Markov limits of steady states of the KPZ equation on an interval ⋮ Extensions of Bougerol's identity in law and the associated anticipative path transformations ⋮ Invariance of Brownian motion associated with exponential functionals ⋮ Interpretation via Brownian motion of some independence properties between GIG and gamma variables. ⋮ Conditioned stochastic differential equations: theory, examples and application to finance. ⋮ 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 ⋮ On the distribution of verhulst process

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