Barczy, Mátyás and Kern, Péter (2016) A link between Bougerol's identity and a formula due to Donati-Martin, Matsumoto and Yor. LECTURE NOTES IN MATHEMATICS, 2168. pp. 179-188. ISSN 0075-8434
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Official URL: https://doi.org/10.1007/978-3-319-44465-9_6
Abstract
We point out an easy link between two striking identities on exponential functionals of the Wiener process and the Wiener bridge originated by Bougerol, and Donati-Martin, Matsumoto and Yor, respectively. The link is established using a continuous one-parameter family of Gaussian processes known as alpha-Wiener bridges or scaled Wiener bridges, which in case alpha=0 coincides with a Wiener process and for alpha=1 is a version of the Wiener bridge.
| Item Type: | Article |
|---|---|
| Subjects: | Q Science / természettudomány > QA Mathematics / matematika |
| SWORD Depositor: | MTMT SWORD |
| Depositing User: | MTMT SWORD |
| Date Deposited: | 29 Sep 2023 14:35 |
| Last Modified: | 29 Sep 2023 14:35 |
| URI: | http://real.mtak.hu/id/eprint/175759 |
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