A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor

DOI10.1016/j.spl.2006.06.003zbMath1110.60077OpenAlexW1997114232MaRDI QIDQ871030

David G. Hobson

Publication date: 15 March 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2006.06.003

zbMATH Keywords

Brownian excursionVervaat's decomposition

Mathematics Subject Classification ID

Brownian motion (60J65)

Related Items (2)

Another look at the integral of exponential Brownian motion and the pricing of Asian options ⋮ A Link Between Bougerol’s Identity and a Formula Due to Donati-Martin, Matsumoto and Yor

Cites Work

• Unnamed Item
• Unnamed Item
• Relations entre pont et excursion du mouvement brownien réel. (Relations between bridge and excursion of real Brownian motion)
• A relation between Brownian bridge and Brownian excursion
• Last exit decompositions and regularity at the boundary of transition probabilities
• On striking identities about the exponential functionals of the Brownian bridge and Brownian motion

This page was built for publication: A short proof of an identity for a Brownian bridge due to Donati-Martin, Matsumoto and Yor