Tree structured independence for exponential Brownian functionals

DOI10.1016/j.spa.2009.07.008zbMath1176.60074OpenAlexW2116438944MaRDI QIDQ734668

Hiroyuki Matsumoto, Piotr Witkowski, Jacek Wesołowski

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

zbMATH Keywords

Brownian motiongamma distributiongeneralized inverse Gaussian distributionexponential Brownian functionalsdirected and undirected treesindependence propertiesinitial enlargements of filtrations

Mathematics Subject Classification ID

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

Related Items (2)

Kummer and gamma laws through independences on trees -- another parallel with the Matsumoto-Yor property ⋮ On the Matsumoto-Yor type regression characterization of the gamma and Kummer distributions

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