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

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

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

zbMATH Keywords

stochastic differential equation; geometric Brownian motion; anticipative transformation; Dufresne's identity

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J65: Brownian motion

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