Some two-dimensional extensions of Bougerol’s identity in law for the exponential functional of linear Brownian motion
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چکیده
We present a two-dimensional extension of an identity in distribution due to Bougerol [Bou] that involves the exponential functional of a linear Brownian motion. Even though this identity does not extend at the level of processes, we point at further striking relations in this direction.
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تاریخ انتشار 2017