A new three-dimensional extension of Bougerol's identity in law

DOI10.1214/24-ecp577zbMATH Open1547.60071MaRDI QIDQ6597219

Kolitha Perera

Publication date: 3 September 2024

Published in: Electronic Communications in Probability (Search for Journal in Brave)

zbMATH Keywords

Brownian motionstochastic partial differential equationsexponential functionalstochasticsBougerol's identity

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Bougerol's identity in law and extensions
• On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable
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