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

DOI10.1016/J.JMAA.2019.123579zbMATH Open1462.60105OpenAlexW2979499015WikidataQ127091633 ScholiaQ127091633MaRDI QIDQ2009288FDOQ2009288

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

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

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)

Cites Work

• Title not available (Why is that?)
• A study of the Hartman–Watson distribution motivated by numerical problems related to 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
• Title not available (Why is that?)
• An analogue of Pitman's \(2M-X\) theorem for exponential Winer functionals. II: The role of the generalized inverse Gaussian laws
• Another look at the integral of exponential Brownian motion and the pricing of Asian options
• An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration

Cited In (3)

• Markov limits of steady states of the KPZ equation on an interval
• Another look at the Hartman-Watson distributions
• Title not available (Why is that?)

This page was built for publication: K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2009288)