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

DOI10.2977/PRIMS/1145477226MaRDI QIDQ1596544zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

stochastic differential equationgeometric Brownian motionanticipative transformationDufresne's identity

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3833013 (Why is no real title available?)
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• A conditional approach to the anticipating Girsanov transformation
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
• A version of Pitman's 2M — X theorem for geometric Brownian motions
• An affine property of the reciprocal Asian option process
• An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
• Anticipation cancelled by a Girsanov transformation: A paradox on Wiener space
• Equations différentielles stochastiques dans avec conditions aux bords
• Nonexistence of strong nonanticipating solutions to stochastic DEs: implications for functional DEs, filtering, and control
• Realizing a weak solution on a probability space
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Cited in

(10)

• Markov limits of steady states of the KPZ equation on an interval
• A note on switching property for squared Bessel process
• Conditioned stochastic differential equations: theory, examples and application to finance.
• Invariance of Brownian motion associated with exponential functionals
• 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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