Invariance of Brownian motion associated with exponential functionals

DOI10.1016/j.spa.2023.104235arXiv2203.08706OpenAlexW4387745981MaRDI QIDQ6145596

Yuu Hariya

Publication date: 9 January 2024

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.08706

zbMATH Keywords

Brownian motionexponential functionalanticipative path transformation

Mathematics Subject Classification ID

Brownian motion (60J65) Local time and additive functionals (60J55) Continuity and singularity of induced measures (60G30)

Cites Work

• Unnamed Item
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• Exponential functionals of Brownian motion. II: Some related diffusion processes
• On positive and negative moments of the integral of geometric Brownian motions
• Some absolute continuity relationships for certain anticipative transformations of geometric Brownian motions.
• 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
• An analogue of Pitman’s 2M – X theorem for exponential Wiener functionals: Part I: A time-inversion approach
• A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration

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