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An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
5 references·4 citing·29 second hop
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this work references cited by second hop

References

  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1990The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding379 cited
  • 1992On some exponential functionals of Brownian motion259 cited
  • 1984Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications134 cited
  • 1992Sur certaines fonctionnelles exponentielles du mouvement brownien réel87 cited

Cited by

  • 2001A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration39 cited
  • 2005Bessel Processes and Asian Options30 cited
  • 2003On Dufresne's relation between the probability laws of exponential functionals of Brownian motions with different drifts28 cited
  • 2005Perpetual Integral Functionals as Hitting and Occupation Times26 cited

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