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| HAL : hal-00663488, version 1 |
| arXiv : 1201.5823 |
| Fiche détaillée |  Récupérer au format |
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| Bougerol's identity in law and extensions |
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| Stavros Vakeroudis 1, 2 |
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| (27/01/2012) |
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| We present a list of equivalent expressions and extensions of Bougerol's celebrated identity in law, obtained by several authors. We recall well-known results and the latest progress of the research associated with this celebrated identity in many directions, we give some new results and possible extensions and we try to point out open questions. |
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| 1 : | Laboratoire de Probabilités et Modèles Aléatoires (LPMA) |
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CNRS : UMR7599 – Université Paris VI - Pierre et Marie Curie – Université Paris VII - Paris Diderot |
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| 2 : | Department of Mathematics (School of Mathematics) |
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University of Manchester |
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| Domaine | : | Mathématiques/Probabilités |
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| Bougerol's identity – time-change – hyperbolic Brownian motion – subordination – Gauss-Laplace transform – planar Brownian motion – Ornstein-Uhlenbeck processes – two-dimensional Bougerol's identity – local time – multi-dimensional Bougerol's identity – Bougerol's diffusion – peacock – convex order – Bougerol's process. |
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| Liste des fichiers attachés à ce document : | ||||||||||
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| hal-00663488, version 1 | |
| http://hal.archives-ouvertes.fr/hal-00663488 | |
| oai:hal.archives-ouvertes.fr:hal-00663488 | |
| Contributeur : Stavros Vakeroudis | |
| Soumis le : Vendredi 27 Janvier 2012, 12:02:25 | |
| Dernière modification le : Vendredi 27 Janvier 2012, 17:35:54 | |
