Bougerol's identity in law and extensions

Probability Surveys 01/2012; 9(1). DOI: 10.1214/12-PS195
Source: arXiv


We present a list of equivalent expressions and extensions of Bougerol's
celebrated identity in law, obtained by several authors. We recall well-known
results and the latest progress of the research associated with this celebrated
identity in many directions, we give some new results and possible extensions
and we try to point out open questions.

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Available from: Stavros Vakeroudis, Oct 06, 2014
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    • "For another two-dimensional extension of (1.1), and even a three-dimensional one we refer to Vakeroudis [13, Sections 4.2 and 4.3]. We are only interested in the following particular case of the identity (1.1) presented in [13] [14]. Bougerol's identity (1.1) is equivalent to the equality of the corresponding "
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