On two-dimensional extensions of Bougerol's identity in law

DOI10.1214/23-ECP510MaRDI QIDQ2686011

Yuu Hariya, Yohei Matsumura

Publication date: 24 February 2023

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

Full work available at URL: https://arxiv.org/abs/2208.11954

zbMATH Keywords

Brownian motionlocal timeexponential functionalBougerol's identity

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Directed polymers and the quantum Toda lattice
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• A matrix Bougerol identity and the Hua-Pickrell measures
• Brownian analogues of Burke's theorem.
• Bougerol's identity in law and extensions
• Interacting diffusions on positive definite matrices
• On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable
• Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion
• Extensions of Bougerol's identity in law and the associated anticipative path transformations
• 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
• Matrix Dufresne Identities
• Exponential functionals of Brownian motion and related processes