Tree structured independence for exponential Brownian functionals
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Publication:734668
DOI10.1016/j.spa.2009.07.008zbMath1176.60074MaRDI QIDQ734668
Hiroyuki Matsumoto, Jacek Wesołowski, Piotr Witkowski
Publication date: 13 October 2009
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2009.07.008
Brownian motion; gamma distribution; generalized inverse Gaussian distribution; exponential Brownian functionals; directed and undirected trees; independence properties; initial enlargements of filtrations
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