Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion

2012/01/06 by Jean Bertoin, Bertoin, Jean, Daniel Dufresne +3
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1201.1495

arxiv created 2012/01/06 · arxiv updated 2012/01/09

Abstract

We present a two-dimensional extension of an identity in distribution due to Bougerol \citeBou that involves the exponential functional of a linear Brownian motion. Even though this identity does not extend at the level of processes, we point at further striking relations in this direction.

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