On an extension of Dufresne's relation between exponential Brownian functionals from opposite drifts to two different drifts: a short proof
In 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.
Volume (Year): 67 (2004)
Issue (Month): 4 (May)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description|
|Order Information:|| Postal: http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:67:y:2004:i:4:p:331-341. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei)
If references are entirely missing, you can add them using this form.