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An extension of Seshadri's identities for Brownian motion

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  • Ghomrasni, Raouf
  • Graversen, Svend Erik

Abstract

In this note we extend and clarify some identities in law for Brownian motion proved by Seshadri (Canad. J. Statist. 16 (1988) 209) using a new identity in law obtained by Matsumoto and Yor (Proc. Japan Acad. Ser. A Math. Sci. 74 (1998) 152).

Suggested Citation

  • Ghomrasni, Raouf & Graversen, Svend Erik, 2002. "An extension of Seshadri's identities for Brownian motion," Statistics & Probability Letters, Elsevier, vol. 59(4), pages 379-384, October.
    • Handle: RePEc:eee:stapro:v:59:y:2002:i:4:p:379-384
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    References listed on IDEAS

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    1. Donati-Martin, Catherine & Matsumoto, Hiroyuki & Yor, Marc, 2000. "On positive and negative moments of the integral of geometric Brownian motions," Statistics & Probability Letters, Elsevier, vol. 49(1), pages 45-52, August.
    2. Daniel Dufresne, 2000. "Laguerre Series for Asian and Other Options," Mathematical Finance, Wiley Blackwell, vol. 10(4), pages 407-428, October.
    3. Dufresne, Daniel, 1989. "Weak convergence of random growth processes with applications to insurance," Insurance: Mathematics and Economics, Elsevier, vol. 8(3), pages 187-201, November.
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