On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: a short proof
AbstractIn this note, we show how to deduce some relationships between exponential functionals of Brownian motions with two different drifts from the case where the drifts are opposite from each other. We clarify which other properties than the Cameron-Martin relation are involved in proving these identities.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 67 (2004)
Issue (Month): 4 (May)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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