Integral representations for the Hartman-Watson density
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Publication:2116476
DOI10.1007/S10959-020-01067-0zbMATH Open1484.60090arXiv1904.00595OpenAlexW3119528758MaRDI QIDQ2116476FDOQ2116476
Authors: Yuu Hariya 
Publication date: 17 March 2022
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Abstract: This paper concerns the density of the Hartman--Watson law. Yor (1980) obtained an integral formula that gives a closed-form expression of the Hartman--Watson density. In this paper, based on Yor's formula, we provide alternative integral representations for the density. As an immediate application, we recover in part a Dufresne's result (2001) that exhibits remarkably simple representations for the laws of exponential additive functionals of Brownian motion.
Full work available at URL: https://arxiv.org/abs/1904.00595
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