K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions

DOI10.1016/j.jmaa.2019.123579zbMath1462.60105OpenAlexW2979499015WikidataQ127091633 ScholiaQ127091633MaRDI QIDQ2009288

Maciej Wiśniewolski

Publication date: 28 November 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2019.123579

zbMATH Keywords

Hartman-Watson distributionadditive functionals of Brownian motiondistribution on hyperplanegeneral Gaussian inverse distribution

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Brownian motion (60J65) Special integral transforms (Legendre, Hilbert, etc.) (44A15)

Related Items (1)

Markov limits of steady states of the KPZ equation on an interval

Cites Work

• Another look at the integral of exponential Brownian motion and the pricing of Asian options
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part 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
• A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
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