An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
Year: 2001
Type: article
Abstract: 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.
Source: Nagoya Mathematical Journal
Authors: Hiroyuki Matsumoto, Marc Yor
Institutions: Nagoya University, Université Pierre-et-Marie-Curie
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: bronze
OpenAlex ID: W1580298493