Further exponential generalization of Pitman's \(2M-X\) theorem

DOI10.1214/ECP.v7-1045zbMath1008.60088MaRDI QIDQ1860579

Fabrice Baudoin

Publication date: 25 February 2003

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/122495

zbMATH Keywords

diffusion processesexponential analogue of Pitman's \(2M-X\) theorem

Mathematics Subject Classification ID

Diffusion processes (60J60)

Related Items (6)

Exponential functionals of Brownian motion and class-one Whittaker functions ⋮ Conditioned stochastic differential equations: theory, examples and application to finance. ⋮ Stochastic Bäcklund Transformations ⋮ Matsumoto–Yor Process and Infinite Dimensional Hyperbolic Space ⋮ Interacting diffusions on positive definite matrices ⋮ Studying anticipation on financial markets by BSDE

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