Tree structured independence for exponential Brownian functionals

The product of GIG and gamma distributions is preserved under the transformation (x,y)|->((x+y)-1,x-1-(x+y)-1). It is also known that this independence property may be reformulated and extended to an analogous property on trees. The purpose of this article is to show the independence property on trees, which was originally derived outside the framework of stochastic processes, in terms of a family of exponential Brownian functionals.

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Year of publication:	2009
Authors:	Matsumoto, Hiroyuki ; Wesolowski, Jacek ; Witkowski, Piotr
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 10, p. 3798-3815
Publisher:	Elsevier
Keywords:	Brownian motion Exponential Brownian functionals Generalized inverse Gaussian distribution Gamma distribution Independence properties Initial enlargements of filtrations Directed and undirected trees

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875317