On a functional equation related to the Matsumoto-Yor property

DOI10.1007/S00010-002-8022-8MaRDI QIDQ1601708zbMATH OpenOpenAlexFDO

Authors Jacek Wesołowski

Publication date 27 June 2002

Published in Aequationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00010-002-8022-8

zbMATH Keywords

bivariate probability measurefunctional equationgamma distributionGaussian distributiongeneralized inverseindependencelocal integrability

Mathematics Subject Classification ID

Functional equations for real functions (39B22) Probability distributions: general theory (60E05)

Review text

Starting from a map discovered by \textit{H. Matsumoto} and \textit{M. Yor} [Nagoya Math. J. 162, 65-86 (2001; Zbl 0983.60075)] which ``preserves a bivariate probability measure which is product of the generalized inverse Gaussian and the gamma distribution, the author was faced up with an ``intriguing functional equation \[ g\bigl(x(x+y) \bigr)-g\bigl(y(x+y) \bigr)= \alpha(x)- \alpha(y),\;\forall x,y\in (0,\infty) \] with unknown functions \(g\) and \(\alpha\). In the present paper he studies a more general version of this equation and proves the following theorem: Let \(g_1,g_2\) and \(\alpha_1, \alpha_2\) be locally integrable real functions defined on \((0,\infty)\) satisfying the equation \[ g_1\bigl(x(x+y) \bigr)+g_2 \bigl(y(x+y) \bigr)= \alpha_1 (x)+ \alpha_2(y),\;\forall x,y\in (0,\infty). \] Then there exist real numbers \(A,B,C\) and \(D\) such that \[ g_1(x)=Ax+B \log(x) +C=-g_2(x), \] \[ \alpha_1 (x)=Ax^2+B \log(x)+D=-\alpha_2 (x)\;\forall x\in (0,\infty). \]

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Cited in

(11)

• A functional equation for the Mellin-Stieltjes transforms of gamma distributions
• Multiparameter Shimizu equation
• Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
• The Matsumoto-Yor property and its converse on symmetric cones
• On a functional equation related to an independence property for beta distributions
• Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property
• Functional equations stemming from probability theory
• On Pólya's functional equation
• Which distributions have the Matsumoto-Yor property?
• A Matsumoto-Yor characterization for Kummer and Wishart random matrices
• Multivariate Matsumoto-Yor property is rather restrictive

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