Penalisation of the Standard Random Walk by a Function of the One-Sided Maximum, of the Local Time, or of the Duration of the Excursions

DOI10.1007/978-3-642-01763-6_12zbMath1190.60035OpenAlexW66058218MaRDI QIDQ3653085

Pierre Debs

Publication date: 18 December 2009

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-01763-6_12

zbMATH Keywords

excursionsrandom walklimit theorems

Mathematics Subject Classification ID

Sums of independent random variables; random walks (60G50) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44)

Related Items (4)

Local time penalizations with various clocks for Lévy processes ⋮ Scaled Penalization of Brownian Motion with Drift and the Brownian Ascent ⋮ Some limiting laws associated with the integrated Brownian motion ⋮ Penalization of Galton-Watson processes

This page was built for publication: Penalisation of the Standard Random Walk by a Function of the One-Sided Maximum, of the Local Time, or of the Duration of the Excursions