A link between Bougerol's identity and a formula due to Donati-Martin, Matsumoto and Yor

Abstract

We point out an easy link between two striking identities on exponential functionals of the Wiener process and the Wiener bridge originated by Bougerol, and Donati-Martin, Matsumoto and Yor, respectively. The link is established using a continuous one-parameter family of Gaussian processes known as $\alpha$-Wiener bridges or scaled Wiener bridges, which in case $\alpha =0$ coincides with a Wiener process and for $\alpha =1$ is a version of the Wiener bridge.

arXiv comment10 pages