Matsumoto-Yor processes on Jordan algebras

Reda Chhaibi, Manon Defosseux

The process $({\int }_0^t{e}^{2b_s-b_t}ds;t\ge 0)$, where $b$ is a real Brownian motion, is known as the geometric 2M-X Matsumoto--Yor process. Remarkably, it enjoys the Markov…