On Bougerol and Dufresne's identities for exponential Brownian functionals

DOI10.3792/pjaa.74.152zbMath0942.60063OpenAlexW2003457804MaRDI QIDQ1283165

Marc Yor, Hiroyuki Matsumoto

Publication date: 16 August 2000

Published in: Proceedings of the Japan Academy. Series A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3792/pjaa.74.152

zbMATH Keywords

Bessel processBrownian motionlocal timeexponential functionaldistributional identitiesBougerol identity

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (4)

On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable ⋮ Bougerol's identity in law and extensions ⋮ On positive and negative moments of the integral of geometric Brownian motions ⋮ An extension of Seshadri's identities for Brownian motion

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Brownian motion on the hyperbolic plane and Selberg trace formula
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• On some exponential functionals of Brownian motion
• Exponential functionals of Brownian motion and disordered systems
• Diffusion in a one-dimensional random medium and hyperbolic Brownian motion
• Semi-groupe du mouvement brownienhyperbolique
• Une approche unifiee pour une forme exacte dU prix d'une option dans les differents modeles a volatilite stochastique
• An affine property of the reciprocal Asian option process

This page was built for publication: On Bougerol and Dufresne's identities for exponential Brownian functionals