Limit laws for Brownian motion conditioned to reach a high level (Q1210274): Difference between revisions

A functional limit theorem is presented for the behaviour of Brownian motion conditioned to reach a high level during a fixed time interval. The asymptotic behaviour of the conditioned path as the level tends to infinity is expressed via a time reversal and suitable renormalisation of space and time. Some relations to Williams' path decomposition is pointed out.

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Mathematics Subject Classification ID

60J65

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zbMATH DE Number

178024

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zbMATH Keywords

functional limit theorem

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Brownian motion

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asymptotic behaviour of the conditioned path

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renormalisation of space and time

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MaRDI publication profile

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cites work

Sojourns and extremes of a diffusion process on a fixed interval

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Fluctuation identities for lévy processes and splitting at the maximum

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Q5332526

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A conditional limit law result on the location of the maximum of Brownian motion

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Zero-One Laws and the Minimum of a Markov Process

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Markov functions

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It� excursion theory via resolvents

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Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I

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Sitelinks

Mathematics(1 entry)

mardi Publication:1210274

@@ Property / cites work @@
+Sojourns and extremes of a diffusion process on a fixed interval
+Normal rank
@@ Property / cites work @@
+Fluctuation identities for lévy processes and splitting at the maximum
+Normal rank
@@ Property / cites work @@
+Q5332526
@@ Property / cites work: Q5332526 / rank @@
+Normal rank
@@ Property / cites work @@
+A conditional limit law result on the location of the maximum of Brownian motion
+Normal rank
@@ Property / cites work @@
+Zero-One Laws and the Minimum of a Markov Process
@@ Property / cites work: Zero-One Laws and the Minimum of a Markov Process / rank @@
+Normal rank
@@ Property / cites work @@
+Markov functions
@@ Property / cites work: Markov functions / rank @@
+Normal rank
@@ Property / cites work @@
+It� excursion theory via resolvents
@@ Property / cites work: It� excursion theory via resolvents / rank @@
+Normal rank
@@ Property / cites work @@
+Path Decomposition and Continuity of Local Time for One-Dimensional Diffusions, I
+Normal rank