An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
From MaRDI portal
Publication:4519049
DOI10.1017/S0027763000007455zbMath0963.60076OpenAlexW1651882306MaRDI QIDQ4519049
Publication date: 20 March 2001
Published in: Nagoya Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0027763000007455
Related Items (28)
Discrete integrable systems and Pitman's transformation ⋮ A note on switching property for squared Bessel process ⋮ Another look at the integral of exponential Brownian motion and the pricing of Asian options ⋮ The spectral representation of Bessel processes with constant drift: applications in queueing and finance ⋮ Fractional intertwinings between two Markov semigroups ⋮ Further studies on square-root boundaries for Bessel processes ⋮ Extensions of Bougerol's identity in law and the associated anticipative path transformations ⋮ Yang-Baxter maps and independence preserving property ⋮ Directed polymers and the quantum Toda lattice ⋮ Invariance of Brownian motion associated with exponential functionals ⋮ On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable ⋮ Survival probability of mutually killing Brownian motions and the O'Connell process ⋮ On the singular values of complex matrix Brownian motion with a matrix drift ⋮ Interpretation via Brownian motion of some independence properties between GIG and gamma variables. ⋮ Approximate and exact solutions of intertwining equations through random spanning forests ⋮ Random forests and networks analysis ⋮ Reciprocal time relation of noncolliding Brownian motion with drift ⋮ System of complex Brownian motions associated with the O'Connell process ⋮ Another look at the Hartman-Watson distributions ⋮ K-Hartman-Watson distributions: a study on distributional dependencies between functionals of geometric Brownian motion, GIG and Hartman-Watson distributions ⋮ Invariance formulas for stopping times of squared Bessel process ⋮ Matsumoto–Yor Process and Infinite Dimensional Hyperbolic Space ⋮ Tree structured independence for exponential Brownian functionals ⋮ Intertwining wavelets or multiresolution analysis on graphs through random forests ⋮ On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: A short proof ⋮ Bi-infinite solutions for KdV- and Toda-type discrete integrable systems based on path encodings ⋮ Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions. ⋮ Integral representations for the Hartman-Watson density
This page was built for publication: An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
