Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes

Loïc Chaumont; David G. Hobson; Marc Yor

Séminaire de probabilités de Strasbourg (2001)

  • Volume: 35, page 334-347

How to cite

top

Chaumont, Loïc, Hobson, David G., and Yor, Marc. "Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes." Séminaire de probabilités de Strasbourg 35 (2001): 334-347. <http://eudml.org/doc/114071>.

@article{Chaumont2001,
author = {Chaumont, Loïc, Hobson, David G., Yor, Marc},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {exchangeability; cyclic exchangeability; Lévy bridge; Brownian bridge; exponential functional},
language = {eng},
pages = {334-347},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes},
url = {http://eudml.org/doc/114071},
volume = {35},
year = {2001},
}

TY - JOUR
AU - Chaumont, Loïc
AU - Hobson, David G.
AU - Yor, Marc
TI - Some consequences of the cyclic exchangeability property for exponential functionals of Lévy processes
JO - Séminaire de probabilités de Strasbourg
PY - 2001
PB - Springer - Lecture Notes in Mathematics
VL - 35
SP - 334
EP - 347
LA - eng
KW - exchangeability; cyclic exchangeability; Lévy bridge; Brownian bridge; exponential functional
UR - http://eudml.org/doc/114071
ER -

References

top
  1. [1] D.J. Aldous: Exchangeability and related topics. Lecture notes in Math., Springer, vol. 1117École d'été de Probabilité de Saint-Flour XIII, 1983. Zbl0562.60042MR883646
  2. [2] J. Bertoin: Lévy Processes. Cambridge University Press1996. Zbl0861.60003MR1406564
  3. [3] J. Bertoin: Some elements on Lévy ProcessesHandbook of statistics, Stochastic processes. Theory and methods. D.N.S. Shanbhag, North Holland, to appear (2000). Zbl0982.60042MR1861722
  4. [4] J. Bertoin, L. Chaumont and M. Yor: Two chain-transformations and their applications to quantiles. J. Appl. Prob.34, (1997), 882-897. Zbl0904.60059MR1484022
  5. [5] P. Biane: Relations entre pont brownien et excursion renormalisée du mouvement brownien. Ann. Inst. Henri Poincaré22 (1986), 1-7. Zbl0596.60079MR838369
  6. [6] P. Carmona, F. Petit, M. Yor: Some extensions of the arc sine law as partial consequences of the scaling property of Brownian motion. Prob. Th. Rel. Fields100 (1994), no. 1, 1-29. Zbl0808.60066MR1292188
  7. [7] L. Chaumont: An extension of Vervaat's transformation and its consequences. J. Theor. Prob., vol. 13, n° 1, p. 259-278 (2000). Zbl0952.60079MR1744984
  8. [8] A. Dassios: Sample quantiles of stochastic processes with stationary and independent increments and of sums of exchangeable random variables. Ann. App. Probab. vol. 6, No. 3, (1996), 1041-1043. Zbl0860.60025MR1410129
  9. [9] L.E. Dubins, J. Pitman: A pointwise ergodic theorem for the group of rational rotations. Trans. Amer. Math. Soc.251, 299-308, 1980. Zbl0412.60050MR531981
  10. [10] C. Donati-Martin, H. Matsumoto, M. Yor: The law of geometric Brownian motion and its integral, revisited; application to conditional moments. Preprint (2000). Zbl1030.91029MR1960566
  11. [11] C. Donati-Martin, H. Matsumoto, M. Yor: On a striking identity about the exponential functional of the Brownian bridge. To appear in Periodica Math. Hung., (2001). Zbl1062.60080
  12. [12] P.J. Fitzsimmons and R.K. Getoor: Occupation time distributions for Lévy bridges and excursions. Stoch. Proc. Appl.58, (1995), 73-89. Zbl0837.60071MR1341555
  13. [13] P.J. Fitzsimmons, J. Pitman and M. Yor: Markovian bridges: construction, Palm interpretation, and splicing. Seminar on Stochastic Processes, 1992 (Seattle, WA, 1992), 101-134, Progr. Probab., 33, Birkhäuser Boston, Boston, MA, 1993. Zbl0844.60054MR1278079
  14. [14] O. Kallenberg: Canonical representation and convergence criteria for processes with interchangeable increments. Zeit. Whahr. verw. Geb.27, 23-36, 1973. Zbl0253.60060MR394842
  15. [15] F.B. Knight: The uniform law for exchangeable and Lévy process bridges. Hommage a P. A. Meyer et J. Neveu, Astérisque, (1996), 171-188. Zbl0867.60018MR1417982
  16. [16] F.S. Nasyrov: On local times for functions and stochastic processes I. Theory Probab. Appl. Vol. 40, No. 4, (1995), 702-713. Zbl0909.60057MR1405146
  17. [17] D. Revuz and M. Yor: Continuous martingales and Brownian motion, Springer, Berlin, Third edition, (1999). Zbl0917.60006MR1725357
  18. [18] W. Vervaat: A relation between Brownian bridge and Brownian excursion. Ann. Probab.7 (1979), 141-149. Zbl0392.60058MR515820
  19. [19] M. Yor: The distribution of Brownian quantiles. J. Appl. Prob.32, (1995),405-416. Zbl0829.60065MR1334895

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.