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On some equalities of laws for Brownian motion with drift
Published online by Cambridge University Press: 14 July 2016
Abstract
A trivariate equality of laws given by Doney and Yor is extended to a quadrivariate version. Some related explicit density calculations are carried out. It is shown that a bivariate case which has been used to establish the Dassios–Port–Wendel equality of laws is in fact equivalent to it.
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- Copyright © Applied Probability Trust 1999
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