A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor

DOI10.1016/J.SPL.2006.06.003MaRDI QIDQ871030zbMATHOpenAlexFDO

Authors David Hobson

Publication date 15 March 2007

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2006.06.003

zbMATH Keywords

Brownian excursionVervaat's decomposition

Mathematics Subject Classification ID

Brownian motion (60J65)

Recommendations

• On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
• On the extension of an identity in law between the Brownian bridge and the variance of the Brownian motion
• An extension of Vervaat's transformation and its consequences
• On an Identity in Law for the Variance of the Brownian Bridge
• Publication:3028042

Cites work

• scientific article; zbMATH DE number 1619468 (Why is no real title available?)
• scientific article; zbMATH DE number 1724295 (Why is no real title available?)
• A relation between Brownian bridge and Brownian excursion
• Last exit decompositions and regularity at the boundary of transition probabilities
• On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
• Relations entre pont et excursion du mouvement brownien réel. (Relations between bridge and excursion of real Brownian motion)

Cited in

(9)

• Comment on: ``Non-intersecting Brownian bridges in the flat-to-flat geometry
• On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
• scientific article; zbMATH DE number 926741 (Why is no real title available?)
• Une preuve simple d'un résultat de Dufresne
• Conditional version of the Donati-Martin and Yor formula and its applications
• A pathwise interpretation of the Gorin-Shkolnikov identity
• A link between Bougerol's identity and a formula due to Donati-Martin, Matsumoto and Yor
• Another look at the integral of exponential Brownian motion and the pricing of Asian options
• A distributional identity for the bivariate Brownian bridge: a nontensor Gaussian field

This page was built for publication: A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q871030)