Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156120 | Stochastic Processes and their Applications | 2009 | 18 Pages |
Abstract
The product of GIG and gamma distributions is preserved under the transformation (x,y)↦((x+y)−1,x−1−(x+y)−1)(x,y)↦((x+y)−1,x−1−(x+y)−1). It is also known that this independence property may be reformulated and extended to an analogous property on trees. The purpose of this article is to show the independence property on trees, which was originally derived outside the framework of stochastic processes, in terms of a family of exponential Brownian functionals.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Hiroyuki Matsumoto, Jacek Wesołowski, Piotr Witkowski,