Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion

DOI10.4171/RMI/758zbMath1303.60073arXiv1201.1495OpenAlexW2022651651MaRDI QIDQ2436060

Daniel Dufresne, Marc Yor, Jean Bertoin

Publication date: 21 February 2014

Published in: Revista Matemática Iberoamericana (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1201.1495

zbMATH Keywords

Brownian motionlocal timeBessel processesexponential functionalBougerol's identity

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Local time and additive functionals (60J55)

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Correlation function of a random scalar field evolving with a rapidly fluctuating Gaussian process ⋮ On two-dimensional extensions of Bougerol's identity in law ⋮ Bougerol's identity in law and extensions ⋮ A matrix Bougerol identity and the Hua-Pickrell measures ⋮ Explicit Formulae in Probability and in Statistical Physics ⋮ A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor

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