Integral Representations for the Hartman–Watson Density

研究成果: Article査読

抄録

This paper concerns the density of the Hartman–Watson law. Yor (Z Wahrsch Verw Gebiete 53:71–95, 1980) obtained an integral formula that gives a closed-form expression of the Hartman–Watson density. In this paper, based on Yor’s formula, we provide alternative integral representations for the density. As an immediate application, we recover in part a result of Dufresne (Adv Appl Probab 33:223–241, 2001) that exhibits remarkably simple representations for the laws of exponential additive functionals of Brownian motion.

本文言語English
ジャーナルJournal of Theoretical Probability
DOI
出版ステータスAccepted/In press - 2021

ASJC Scopus subject areas

  • 統計学および確率
  • 数学 (全般)
  • 統計学、確率および不確実性

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