MPS-RR 2002-9
March 2002

An Extension of Seshadri's Identities for Brownian Motion

by:

Svend Erik Graversen

Raouf Ghomrasni

Abstract

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].

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This paper has now been published in Statistics & Probability Letters 59, 379-384 (2002)