Tree structured independence for exponential Brownian functionals

DOI10.1016/J.SPA.2009.07.008MaRDI QIDQ734668zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Brownian motiondirected and undirected treesexponential Brownian functionalsgamma distributiongeneralized inverse Gaussian distributionindependence propertiesinitial enlargements of filtrations

Mathematics Subject Classification ID

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

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

Cites work

• A link between the Matsumoto-Yor property and an independence property on trees
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
• A version of Pitman's 2M — X theorem for geometric Brownian motions
• An analogue of Pitman's \(2M-X\) theorem for exponential Winer functionals. II: The role of the generalized inverse Gaussian laws
• An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
• An independence property for the product of GIG and gamma laws
• BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES
• Brownian motion on the hyperbolic plane and Selberg trace formula
• Exponential functionals of Brownian motion and disordered systems
• Exponential functionals of Brownian motion and related processes
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Hitting distributions of geometric Brownian motion
• Hitting times of Brownian motion and the Matsumoto-Yor property on trees
• scientific article; zbMATH DE number 994429 (Why is no real title available?)
• scientific article; zbMATH DE number 3734898 (Why is no real title available?)
• scientific article; zbMATH DE number 3638888 (Why is no real title available?)
• scientific article; zbMATH DE number 2230346 (Why is no real title available?)
• Interpretation via Brownian motion of some independence properties between GIG and gamma variables.
• On some exponential functionals of Brownian motion
• Random times and enlargements of filtrations in a Brownian setting.
• Statistical properties of the generalized inverse Gaussian distribution
• Sur certaines fonctionnelles exponentielles du mouvement brownien réel
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• The Matsumoto-Yor property on trees
• The Matsumoto\,-\,Yor property and the structure of the Wishart distribution
• The Matsumoto–Yor independence property for GIG and Gamma laws, revisited

Cited in

(3)

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

This page was built for publication: Tree structured independence for exponential Brownian functionals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q734668)