Penalizations of the Brownian motion with a functional of its local times

DOI10.1016/j.spa.2007.09.002zbMath1152.60012arXivmath/0701526OpenAlexW2106359605MaRDI QIDQ936398

Joseph Najnudel

Publication date: 13 August 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701526

zbMATH Keywords

Brownian motionlocal timePenalization

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Martingales with continuous parameter (60G44) Sample path properties (60G17) Convergence of probability measures (60B10) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Cites Work

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• Central limit theorem for the Edwards model
• Limiting laws associated with Brownian motion perturbated by normalized exponential weights
• Penalizations of Walsh Brownian motion
• Limiting laws for long Brownian bridges perturbed by their one-sided maximum. III
• A stochastic flow arising in the study of local times
• Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II

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