An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
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Publication:2731031
DOI10.1017/S0027763000007807zbMath0983.60075MaRDI QIDQ2731031
Publication date: 21 April 2002
Published in: Nagoya Mathematical Journal (Search for Journal in Brave)
Related Items (36)
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Cites Work
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- Tsirel'son's equation in discrete time
- First hitting time models for the generalized inverse Gaussian distribution
- An independence property for the product of GIG and gamma laws
- Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
- A characterization of the generalized inverse Gaussian distribution by continued fractions
- Sur certaines fonctionnelles exponentielles du mouvement brownien réel
- On some exponential functionals of Brownian motion
- A simple proof of Pitman's 2M–X theorem
- A version of Pitman's 2M — X theorem for geometric Brownian motions
- THE POPULATION FREQUENCIES OF SPECIES AND THE ESTIMATION OF POPULATION PARAMETERS
- Markov functions
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