A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor
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Publication:871030
DOI10.1016/J.SPL.2006.06.003zbMATH Open1110.60077OpenAlexW1997114232MaRDI QIDQ871030FDOQ871030
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
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Cites Work
- Title not available (Why is that?)
- On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
- A relation between Brownian bridge and Brownian excursion
- Relations entre pont et excursion du mouvement brownien réel. (Relations between bridge and excursion of real Brownian motion)
- Title not available (Why is that?)
- Last exit decompositions and regularity at the boundary of transition probabilities
Cited In (6)
- Une preuve simple d'un résultat de Dufresne
- A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor
- Title not available (Why is that?)
- Another look at the integral of exponential Brownian motion and the pricing of Asian options
- On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
- Comment on: ``Non-intersecting Brownian bridges in the flat-to-flat geometry
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