Interpretation via Brownian motion of some independence properties between GIG and gamma variables

Hiroyuki Matsumoto and Marc Yor

Statistics & Probability Letters, 2003, vol. 61, issue 3, 253-259

Abstract: In the course of our investigations of exponential Brownian functionals (Nagoya Math. J. 162 (2001) 65) we noticed, with the help of some previous work by Letac and Seshadri (Z. Wahr. verw. Geb. 62 (1983) 485), some identity in law involving GIG and gamma variables. In the present note, we give a detailed and self-contained proof of this identity in law, which relies only on the exponential Brownian functionals framework.

Keywords: Brownian; motions; with; drifts; Generalized; inverse; Gaussian; distributions; Exponential; Brownian; functionals (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (10)

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