A version of Pitman's 2M — X theorem for geometric Brownian motions
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Publication:4260077
DOI10.1016/S0764-4442(99)80326-7zbMath0936.60076OpenAlexW2078846859MaRDI QIDQ4260077
Publication date: 9 May 2000
Published in: Comptes Rendus de l'Académie des Sciences - Series I - Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0764-4442(99)80326-7
geometric Brownian motionthree-dimensional Bessel processgeneralized inverse Gaussian distributionsRogers-Pitman extension
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