A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor

DOI10.1007/978-3-319-44465-9_6zbMath1367.60034arXiv1403.5785OpenAlexW2529161069MaRDI QIDQ5270098

Mátyás Barczy, Peter Becker-Kern

Publication date: 22 June 2017

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.5785

zbMATH Keywords

Wiener processGaussian processesexponential functionalsWiener bridge

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

Cites Work

• A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor
• On a one-parameter generalization of the Brownian bridge and associated quadratic functionals
• Bougerol's identity in law and extensions
• Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion
• α-Wiener Bridges: Singularity of Induced Measures and Sample Path Properties
• On some exponential functionals of Brownian motion
• On striking identities about the exponential functionals of the Brownian bridge and Brownian motion
• Exponential functionals of Brownian motion and related processes
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