Integral representations for the Hartman-Watson density

DOI10.1007/S10959-020-01067-0MaRDI QIDQ2116476zbMATH OpenOpenAlexFDO

Authors Yuu Hariya

Publication date 17 March 2022

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.00595

zbMATH Keywords

Brownian motionexponential functionalHartman-Watson law

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Brownian motion (60J65) Local time and additive functionals (60J55)

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.

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Cited in

(3)

• Another look at the Hartman-Watson distributions
• K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions
• scientific article; zbMATH DE number 7544430 (Why is no real title available?)

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