A multi-dimensional version of Lamperti's relation and the Matsumoto-Yor processes
Probability
2023-06-06 v1
Abstract
This paper presents a multidimensional extension of the Matsumoto-Yor properties related to exponential functionals of drifted Brownian motion. The extension involves the interaction of geometric Brownian motions which are indexed by the vertices of a finite weighted graph, and the random potential associated with the Vertex Reinforced Jump process on this graph. We prove in this context a counterpart of Lamperti's transformation, of the Markov property of the Matsumoto-Yor process and of the intertwining relation.
Keywords
Cite
@article{arxiv.2306.02158,
title = {A multi-dimensional version of Lamperti's relation and the Matsumoto-Yor processes},
author = {Thomas Gérard and Valentin Rapenne and Christophe Sabot and Xiaolin Zeng},
journal= {arXiv preprint arXiv:2306.02158},
year = {2023}
}
Comments
Extended version of arXiv:2004.10692 with a new author Keywords: exponential functional of Brownian motion, Inverse Gaussian law, vertex reinforced jump process, Pitman 2M-B theorem, Pitman transform