On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: a short proof

Yuu Hariya and Marc Yor

Statistics & Probability Letters, 2004, vol. 67, issue 4, 331-341

Abstract: In this note, we show how to deduce some relationships between exponential functionals of Brownian motions with two different drifts from the case where the drifts are opposite from each other. We clarify which other properties than the Cameron-Martin relation are involved in proving these identities.

Keywords: Brownian; motions; with; drifts; Exponential; Brownian; functionals; Dufresne's; identity (search for similar items in EconPapers)
Date: 2004
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