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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.2012-01-16
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    And still no reaction [here](http://math.stackexchange.com/q/97484/6179)?2012-01-16

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