An Analogue of Pitman’s 2M — X Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
By Hiroyuki Matsumoto, Marc Yor. Nagoya mathematical journal, 2001
121 citations recorded by the source corpus.
Subfields: Finance, Mathematical Physics, Statistical and Nonlinear Physics
View Paper: https://www.semanticscholar.org/paper/466ade07028c36dabcaad6e5ee113aeeab1bc14c
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
In Statistical and Nonlinear Physics
Citations in the corpus
- Exponential functionals of Levy processes (2005, unknown): “[49, 50, 51]).”
- A relationship between Brownian motions with opposite drifts via certain enlargements of the Brownian filtration (2001, background): “3) led to [19]–[21]; this, together with our original interest in the enlargement of filtrations, motivated our derivation of Theorem 4.”
- Exponential functionals of Brownian motion, II: Some related diffusion processes (2005, background): “See Seshadri [56], [46] and the references therein.”
- Directed polymers and the quantum Toda lattice (2009, background): “In this case, Theorem 3.1 is equivalent to the following theorem of Matsumoto and Yor [36, 37].”