Some changes of probabilities related to a geometric Brownian motion version of Pitman's $2M-X$ theorem.

@article{Matsumoto1999,
author = {Matsumoto, Hiroyuki, Yor, Marc},
journal = {Electronic Communications in Probability [electronic only]},
keywords = {diffusion process; Markov intertwining kernel; (strict) local martingale; explosion},
language = {eng},
pages = {15-23},
publisher = {University of Washington},
title = {Some changes of probabilities related to a geometric Brownian motion version of Pitman's theorem.},
url = {http://eudml.org/doc/120087},
volume = {4},
year = {1999},
}

TY - JOUR
AU - Matsumoto, Hiroyuki
AU - Yor, Marc
TI - Some changes of probabilities related to a geometric Brownian motion version of Pitman's theorem.
JO - Electronic Communications in Probability [electronic only]
PY - 1999
PB - University of Washington
VL - 4
SP - 15
EP - 23
LA - eng
KW - diffusion process; Markov intertwining kernel; (strict) local martingale; explosion
UR - http://eudml.org/doc/120087
ER -