A new three-dimensional extension of Bougerol's identity in law (Q6597219)
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scientific article; zbMATH DE number 7905721
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new three-dimensional extension of Bougerol's identity in law |
scientific article; zbMATH DE number 7905721 |
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A new three-dimensional extension of Bougerol's identity in law (English)
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3 September 2024
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From the text: ``To illustrate Bougerol's identity in law consider the following exponential functional with an associated Brownian motion \((B_s, s \ge 0)\) such that \N\[\N A_t = \int_0^t ds e^{2B_s}, t \ge 0.\N\]\N\textit{P. Bougerol}'s identity in law [Ann. Inst. Henri Poincaré, Nouv. Sér., Sect. B 19, 369--391 (1983; Zbl 0533.60010)] states that, for every fixed \(t\): \N\[\N\sinh(B_t) \overset{(\mathrm{law})}{=} \beta_{A_t} \N\]\Nwhere \(\beta\) is an independent, real Brownian motion. [\(\ldots\)] \N\NProofs [\(\ldots\)] in three dimensions are widely available through the less intuitive conventional methods of proof for the identity in law. We build upon \textit{S. Vakeroudis}'s new two-dimensional extension [Probab. Surv. 9, 411--437 (2012; Zbl 1278.60125)] in the third dimension, providing a more intuitive approach to foster higher dimensional expansion of this identity in law.''
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Bougerol's identity
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Brownian motion
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exponential functional
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stochastic partial differential equations
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stochastics
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