Tree structured independence for exponential Brownian functionals

DOI10.1016/J.SPA.2009.07.008zbMATH Open1176.60074OpenAlexW2116438944MaRDI QIDQ734668FDOQ734668

Authors: 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

Recommendations

• Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
• An independence property for the product of GIG and gamma laws
• A link between the Matsumoto-Yor property and an independence property on trees
• The Matsumoto-Yor property on trees for matrix variates of different dimensions
• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited

zbMATH Keywords

gamma distributionBrownian motiongeneralized inverse Gaussian distributionexponential Brownian functionalsdirected and undirected treesindependence propertiesinitial enlargements of filtrations

Mathematics Subject Classification ID

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

Cites Work

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Cited In (3)

• 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
• Interpretation via Brownian motion of some independence properties between GIG and gamma variables.

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