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arXiv · 1904.00595

Integral representations for the Hartman--Watson density

Yuu Hariya
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Abstract

This paper concerns the density of the Hartman--Watson law. Yor (1980) obtained an integral formula that gives a closed-form expression of the Hartman--Watson density. In this paper, based on Yor's formula, we provide alternative integral representations for the density. As an immediate application, we recover in part a Dufresne's result (2001) that exhibits remarkably simple representations for the laws of exponential additive functionals of Brownian motion.

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Yuu Hariya. 2020-12-18. Integral representations for the Hartman--Watson density. https://doi.org/10.1007/s10959-020-01067-0

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