Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion

Jean Bertoin; Daniel Dufresne; Marc Yor

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arXiv · 1201.1495

Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion

Jean Bertoin·Daniel Dufresne·Marc Yor

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Abstract

We present a two-dimensional extension of an identity in distribution due to Bougerol \cite{Bou} that involves the exponential functional of a linear Brownian motion. Even though this identity does not extend at the level of processes, we point at further striking relations in this direction.

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Jean Bertoin, Daniel Dufresne, Marc Yor. 2012-01-06. Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion. https://arxiv.org/abs/1201.1495

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