A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor
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Publication:5270098
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
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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