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Hitting times of Brownian motion and the Matsumoto-Yor property on trees

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  • Wesolowski, Jacek
  • Witkowski, Piotr

Abstract

The Matsumoto-Yor property in the bivariate case was originally defined through properties of functionals of the geometric Brownian motion. A multivariate version of this property was described in the language of directed trees and outside of the framework of stochastic processes in Massam and Wesolowski [H. Massam, J. Wesolowski, The Matsumoto-Yor property on trees, Bernoulli 10 (2004) 685-700]. Here we propose its interpretation through properties of hitting times of Brownian motion, extending the interpretation given in the bivariate case in Matsumoto and Yor [H. Matsumoto, M. Yor, Interpretation via Brownian motion of some independence properties between GIG and gamma variables, Statist. Probab. Lett. 61 (2003) 253-259].

Suggested Citation

  • Wesolowski, Jacek & Witkowski, Piotr, 2007. "Hitting times of Brownian motion and the Matsumoto-Yor property on trees," Stochastic Processes and their Applications, Elsevier, vol. 117(9), pages 1303-1315, September.
    • Handle: RePEc:eee:spapps:v:117:y:2007:i:9:p:1303-1315
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    References listed on IDEAS

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    1. Koudou, Angelo Efoévi, 2006. "A link between the Matsumoto-Yor property and an independence property on trees," Statistics & Probability Letters, Elsevier, vol. 76(11), pages 1097-1101, June.
    2. Massam, Hélène & Wesolowski, Jacek, 2006. "The Matsumoto-Yor property and the structure of the Wishart distribution," Journal of Multivariate Analysis, Elsevier, vol. 97(1), pages 103-123, January.
    3. Matsumoto, Hiroyuki & Yor, Marc, 2003. "Interpretation via Brownian motion of some independence properties between GIG and gamma variables," Statistics & Probability Letters, Elsevier, vol. 61(3), pages 253-259, February.
    4. Stirzaker, David, 2005. "Stochastic Processes and Models," OUP Catalogue, Oxford University Press, number 9780198568148.
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    1. Matsumoto, Hiroyuki & Wesolowski, Jacek & Witkowski, Piotr, 2009. "Tree structured independence for exponential Brownian functionals," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3798-3815, October.
    2. Piliszek, Agnieszka & Wesołowski, Jacek, 2016. "Kummer and gamma laws through independences on trees—Another parallel with the Matsumoto–Yor property," Journal of Multivariate Analysis, Elsevier, vol. 152(C), pages 15-27.
    3. Wesołowski, Jacek, 2015. "On the Matsumoto–Yor type regression characterization of the gamma and Kummer distributions," Statistics & Probability Letters, Elsevier, vol. 107(C), pages 145-149.

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