Hitting times of Brownian motion and the Matsumoto-Yor property on trees

DOI10.1016/j.spa.2007.01.004zbMath1120.60075OpenAlexW2004152368MaRDI QIDQ2642037

Piotr Witkowski, Jacek Wesołowski

Publication date: 20 August 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2007.01.004

zbMATH Keywords

Brownian motiongamma distributionhitting timegeneralized inverse Gaussian distributiondirected and undirected treesindependence properties

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Brownian motion (60J65)

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Cites Work

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• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
• An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited