Invariance of Brownian motion associated with exponential functionals

DOI10.1016/J.SPA.2023.104235MaRDI QIDQ6145596zbMATH OpenOpenAlexFDO

Authors Yuu Hariya

Publication date 9 January 2024

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

Full work available at URL https://arxiv.org/abs/2203.08706

zbMATH Keywords

anticipative path transformationBrownian motionexponential functional

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30) Local time and additive functionals (60J55) Brownian motion (60J65)

Abstract: It is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, we prove another invariance of Brownian motion that is compatible with the time reversal. The invariance, which seems to be new to our best knowledge, is described in terms of an anticipative path transformation involving exponential functionals as anticipating factors. Some related results are also provided.

Review text

This paper is a continuation of [\textit{Y. Hariya}, Stochastic Processes Appl. 146, 311--334 (2022; Zbl 1484.60089)]. It is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, the author proves another invariance of Brownian motion that is compatible with time reversal. The invariance is described in terms of an anticipative path transformation involving exponential functionals as anticipating factors.

Recommendations

• scientific article; zbMATH DE number 3913398
• scientific article; zbMATH DE number 5638045
• A Girsanov-type formula for a class of anticipative transforms of Brownian motion associated with exponential functionals
• scientific article; zbMATH DE number 64899
• Distribution of functionals of Brownian motion. II.

Cites work

• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
• An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• Extensions of Bougerol's identity in law and the associated anticipative path transformations
• scientific article; zbMATH DE number 3846539 (Why is no real title available?)
• On positive and negative moments of the integral of geometric Brownian motions
• Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Cited in

(3)

• A Girsanov-type formula for a class of anticipative transforms of Brownian motion associated with exponential functionals
• Invariance of Brownian motion associated with past and future maxima
• Invariance of three-dimensional Bessel bridges in terms of time reversal

This page was built for publication: Invariance of Brownian motion associated with exponential functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6145596)