On two-dimensional extensions of Bougerol’s identity in law

Abstract

Let B={Bt}t≥0 be a one-dimensional standard Brownian motion and denote by At,t≥0, the quadratic variation of semimartingale eBt,t≥0. The celebrated Bougerol’s identity in law (1983) asserts that, if β={βt}t≥0 is another Brownian motion independent of B, then βAt has the same law as sinhBt for every fixed t>0. Bertoin, Dufresne and Yor (2013) obtained a two-dimensional extension of the identity involving, as the second coordinates, the local times of B and β at level zero. In this paper, we present a generalization of their extension in a situation that the levels of those local times are not restricted to zero. Our argument provides a short elementary proof of the original extension and sheds new light on that subtle identity.