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Integral representations for the Hartman--Watson density
Yuu Hariya
This paper concerns the density of the Hartman--Watson law. Yor (1980) obtained an integral formula that gives a closed-form expression of the Hartman--Watson density. In this pape…
On some identities in law involving exponential functionals of Brownian motion and Cauchy variable
Yuu Hariya
Let be a one-dimensional standard Brownian motion, to which we associate the exponential additive functional . St…
A variational representation and Prékopa's theorem for Wiener functionals
Yuu Hariya
In 1998, Boué and Dupuis proved a variational representation for exponentials of bounded Wiener functionals. Since their proof involves arguments related to the weak convergence of…
Stochastic ranking process with time dependent intensities
Yuu Hariya, Kumiko Hattori, Tetsuya Hattori +3
We consider the stochastic ranking process with the jump times of the particles determined by Poisson random measures. We prove that the joint empirical distribution of scaled posi…