Tree structured independence for exponential Brownian functionals

Hiroyuki Matsumoto, Jacek Wesolowski and Piotr Witkowski

Stochastic Processes and their Applications, 2009, vol. 119, issue 10, 3798-3815

Abstract: The product of GIG and gamma distributions is preserved under the transformation (x,y)|->((x+y)-1,x-1-(x+y)-1). It is also known that this independence property may be reformulated and extended to an analogous property on trees. The purpose of this article is to show the independence property on trees, which was originally derived outside the framework of stochastic processes, in terms of a family of exponential Brownian functionals.

Keywords: Brownian; motion; Exponential; Brownian; functionals; Generalized; inverse; Gaussian; distribution; Gamma; distribution; Independence; properties; Initial; enlargements; of; filtrations; Directed; and; undirected; trees (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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