Bougerol's identity in law and extensions

DOI10.1214/12-PS195zbMath1278.60125arXiv1201.5823MaRDI QIDQ1950172

Stavros Vakeroudis

Publication date: 10 May 2013

Published in: Probability Surveys (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.5823

zbMATH Keywords

subordinationlocal timeOrnstein-Uhlenbeck processesplanar Brownian motionconvex ordertime-changehyperbolic Brownian motionBougerol's identitypeacockBougerol's diffusionBougerol's processGauss-Laplace transformmulti-dimensional bougerol's identitytwo-dimensional Bougerol's identity

Mathematics Subject Classification ID

Gaussian processes (60G15) Continuous-time Markov processes on general state spaces (60J25) Characteristic functions; other transforms (60E10) Brownian motion (60J65) Maximum principle, Schwarz's lemma, Lindelöf principle, analogues and generalizations; subordination (30C80) Diffusion processes (60J60) General theory of stochastic processes (60G07) Laplace transform (44A10) Martingales and classical analysis (60G46) Local time and additive functionals (60J55) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

Related Items

Extensions of Bougerol's identity in law and the associated anticipative path transformations ⋮ Explicit Expressions of the Hua--Pickrell Semigroup ⋮ On two-dimensional extensions of Bougerol's identity in law ⋮ On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable ⋮ Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion ⋮ A matrix Bougerol identity and the Hua-Pickrell measures ⋮ On the windings of complex-valued Ornstein–Uhlenbeck processes driven by a Brownian motion and by a stable process ⋮ Windings of planar processes, exponential functionals and Asian options ⋮ A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor ⋮ Integral representations for the Hartman-Watson density

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