Some Brownian functionals and their laws (Q1370221): Difference between revisions

Starting from the observation that Girsanov's theorem still makes sense when one probability measure is replaced by a signed measure, the authors first consider \(h\)-transforms with non-positive space-time harmonic functions \(h\), and give some examples. This leads them to study Brownian functionals given as principal values, which in turn are related to some quadratic Brownian functionals. Several results on these two types of functionals are presented, mainly recent ones, partly with new proofs and comments. Another section of the article is devoted to a survey on Ray-Knight theorems on local time, together with some new proofs (based on a martingale approach) and with various extensions. Finally, some Laplace transforms of exponential functionals of generalized Bessel processes and of the normalized Brownian excursion are computed. As an application, a result on the porous medium equation is recovered.