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An Analogue of Pitman’s <i>2</i>M <i>— X</i> Theorem for Exponential Wiener Functionals Part II: The Role of the Generalized Inverse Gaussian Laws
In Part I of this work, we have shown that the stochastic process Z(µ ) defined by (8.1) below is a diffusion process, which may be considered as an extension of Pitman’s 2M — X theorem. In this Part II, we deduce from an identity in law partly due to …