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.
- Brownian motions with drifts
- Dufresne's identity
- Exponential Brownian functionals
ASJC Scopus subject areas
- Statistics and Probability
- Statistics, Probability and Uncertainty