On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof
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Publication:1827551
DOI10.1016/j.spl.2004.02.005zbMath1042.60051OpenAlexW1989243805MaRDI QIDQ1827551
Publication date: 6 August 2004
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2004.02.005
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- On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts
- An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
- An affine property of the reciprocal Asian option process
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