An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
2001 ◽
Vol 162
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pp. 65-86
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Keyword(s):
In Part I of this work, we have shown that the stochastic process Z(µ) defined by (8.1) below is a diffusion process, which may be considered as an extension of Pitman’s 2M — X theorem. In this Part II, we deduce from an identity in law partly due to Dufresne that Z(µ) is intertwined with Brownian motion with drift µ and that the intertwining kernel may be expressed in terms of Generalized Inverse Gaussian laws.
1983 ◽
Vol 62
(4)
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pp. 485-489
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2000 ◽
Vol 116
(1-2)
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pp. 153-165
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Keyword(s):
Keyword(s):
2021 ◽
pp. 21-50
1978 ◽
Vol 7
(1)
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pp. 49-54
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2015 ◽
Vol 47
(1)
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pp. 210-230
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Keyword(s):