Bougerol's identity in law and extensions
Résumé
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.
Mots clés
Bougerol's process
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.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)