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Can you help me with the following: Prove that a geometric Brownian motion can be represented as a time-changed Bessel process $$ \exp(B_t+vt)=R_{A_t} $$ where $A_t= \int_{0}^t \exp(2(B_s+vs)) ds$ and $(R_t)$ is a Bessel process of parameter $2v+1$.

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Please refrain from stating your question in imperative. Keep in mind, you are asking someone to help you out. It would not hurt to show what you have done, and where specifically you need help. –  Sasha Jan 16 '12 at 18:58
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And still no reaction here? –  Did Jan 16 '12 at 19:09
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