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Interpretation via Brownian motion of some independence properties between GIG and gamma variables

In the course of our investigations of exponential Brownian functionals (Nagoya Math. J. 162 (2001) 65) we noticed, with the help of some previous work by Letac and Seshadri (Z. Wahr. verw. Geb. 62 (1983) 485), some identity in law involving GIG and gamma variables. In the present note, we give a detailed and self-contained proof of this identity in law, which relies only on the exponential Brownian functionals framework.
Year of publication:
2003
Authors: Matsumoto, Hiroyuki ; Yor, Marc
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 61.2003, 3, p. 253-259
Publisher: Elsevier
Keywords: Brownian motions with drifts Generalized inverse Gaussian distributions Exponential Brownian functionals
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005223611
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