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

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

2012-01-06

arxiv.org/abs/1201.1495v1

Mathematics

Probability

Scientific paper

We present a two-dimensional extension of an identity in distribution due to
Bougerol \cite{Bou} 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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