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On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: a short proof

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  • Hariya, Yuu
  • Yor, Marc

Abstract

In this note, we show how to deduce some relationships between exponential functionals of Brownian motions with two different drifts from the case where the drifts are opposite from each other. We clarify which other properties than the Cameron-Martin relation are involved in proving these identities.

Suggested Citation

  • Hariya, Yuu & Yor, Marc, 2004. "On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: a short proof," Statistics & Probability Letters, Elsevier, vol. 67(4), pages 331-341, May.
    • Handle: RePEc:eee:stapro:v:67:y:2004:i:4:p:331-341
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    References listed on IDEAS

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    1. 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.
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