K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions

DOI10.1016/J.JMAA.2019.123579MaRDI QIDQ2009288zbMATH OpenOpenAlexWikidataFDO

Authors Maciej Wiśniewolski

Publication date 28 November 2019

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2019.123579

zbMATH Keywords

Hartman-Watson distributionadditive functionals of Brownian motiondistribution on hyperplanegeneral Gaussian inverse distribution

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Special integral transforms (Legendre, Hilbert, etc.) (44A15)

Recommendations

• Another look at the Hartman-Watson distributions
• Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
• Revisiting integral functionals of geometric Brownian motion
• Integral representations for the Hartman-Watson density
• On the integral of geometric Brownian motion

Cites work

• scientific article; zbMATH DE number 1817636 (Why is no real title available?)
• scientific article; zbMATH DE number 1138789 (Why is no real title available?)
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
• An analogue of Pitman's \(2M-X\) theorem for exponential Winer functionals. II: The role of the generalized inverse Gaussian laws
• An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
• Another look at the integral of exponential Brownian motion and the pricing of Asian options
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Exponential functionals of Brownian motion. II: Some related diffusion processes

Cited in

(3)

• Markov limits of steady states of the KPZ equation on an interval
• Another look at the Hartman-Watson distributions
• scientific article; zbMATH DE number 7544430 (Why is no real title available?)

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