IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v167y2024ics0304414923002077.html
   My bibliography  Save this article

Invariance of Brownian motion associated with exponential functionals

Author

Listed:
  • Hariya, Yuu

Abstract

It is well known that Brownian motion enjoys several distributional invariances such as the scaling property and the time reversal. In this paper, we prove another invariance of Brownian motion that is compatible with time reversal. The invariance, which seems to be new to our best knowledge, is described in terms of an anticipative path transformation involving exponential functionals as anticipating factors. Some related results are also provided.

Suggested Citation

  • Hariya, Yuu, 2024. "Invariance of Brownian motion associated with exponential functionals," Stochastic Processes and their Applications, Elsevier, vol. 167(C).
  • Handle: RePEc:eee:spapps:v:167:y:2024:i:c:s0304414923002077
    DOI: 10.1016/j.spa.2023.104235
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414923002077
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.spa.2023.104235?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Donati-Martin, Catherine & Matsumoto, Hiroyuki & Yor, Marc, 2000. "On positive and negative moments of the integral of geometric Brownian motions," Statistics & Probability Letters, Elsevier, vol. 49(1), pages 45-52, August.
    2. Hariya, Yuu, 2022. "Extensions of Bougerol’s identity in law and the associated anticipative path transformations," Stochastic Processes and their Applications, Elsevier, vol. 146(C), pages 311-334.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ghomrasni, Raouf & Graversen, Svend Erik, 2002. "An extension of Seshadri's identities for Brownian motion," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 379-384, October.
    2. Andrew Lyasoff, 2016. "Another look at the integral of exponential Brownian motion and the pricing of Asian options," Finance and Stochastics, Springer, vol. 20(4), pages 1061-1096, October.
    3. De Schepper, Ann & Goovaerts, Marc & Dhaene, Jan & Kaas, Rob & Vyncke, David, 2002. "Bounds for present value functions with stochastic interest rates and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 31(1), pages 87-103, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:167:y:2024:i:c:s0304414923002077. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.