A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration
By Hiroyuki Matsumoto, Marc Yor. 2001
63 citations recorded by the source corpus.
Subfields: Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/3cd88651df809497b732ba0182855a45c381196e
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Hiroyuki Matsumoto
- Neil O'Connell
- Marc Yor
- Daniel Dufresne
- Vadim Linetsky
- Pierre Patie
- M. Schröder
- P. Carr
In Mathematical Physics
- Neil O'Connell
- Marc Yor
- Hiroyuki Matsumoto
- Jim Pitman
- Ivan Corwin
- Alexei Borodin
- Daniel Dufresne
- Jon Warren
Citations in the corpus
- Exponential functionals of Brownian motion, II: Some related diffusion processes (2005, background): “2) at the process level has been given in [47].”
- An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws (2001, background): “In the present Part II, we show that these results may be derived as a consequence of the following extension given in [17] of Dufresne’s identity [9].”
- Brownian analogues of Burke's theorem (2001, methodology): “…A−2s exp(2B ( ) s ) ds and (19) follows by noting that dA−1s =− A−2s exp(2B( )s ) ds; and hence∫ s¿t A−2s exp(2B ( ) s ) ds=A −1 t : The proof of Theorem 6(2) given in Matsumoto and Yor (2001) uses the method of enlargement; in Section 7 we will give an alternative proof using reversibility…”