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An Extension of Seshadris Identities for Brownian Motion

by Raouf Ghomrasni and Svend Erik Graversen
Research Reports Number 427 (March 2002)
In this note we extend and clarify some identities in law for Brownian motion proved by V. Seshadri [8] using a new identity in law obtained by H. Matsumoto and M. Yor [6].

Key words and phrases: Brownian motion, Brownian functional, Asian option.
MSC2000: 60H05, 60J65
Format available: PDF (202 KB)