Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII (Q999861): Difference between revisions

Let \((\Omega,(X_t,{\mathcal F}_t)_{t\geq 0})\) be the canonical realization of a one-dimensional Wiener process, \(S_t= \sup_{s\leq t}X_s\) the supremum process associated with \(X\) and \(\varphi\) a probability density. In a previous work [Ann. Inst. Henri Poincaré, Probab. Stat. 45, No. 2, 421--452 (2009; Zbl 1181.60046)], the authors studied the penalisation of the Wiener measure by \((\varphi(S_t), t\geq 0)\). The present paper concerns 9 different penalisations related to \((S_t)\). More precisely, if \(g_t\) (resp. \(d_t\)) denotes the last zero of \(X\) before (resp. the first of \(X\) zero after) some time \(t\), the authors show the existence and compute explicitely probability measures \(Q^{(i)}\), \(i\in \{1,\dots,9\}\) that staisfies, for any bounded \({\mathcal F}_s\)-adapted random variable \(\Lambda_s\), \[ \lim_{t\to\infty} {E[\Lambda_s F^{(i)}_t]\over E[F^{(i)}_t]}= Q^{(i)}(\Lambda_s), \] for \(F^{(i)}_t\) some of the following weight processes: \[ (\varphi(S_t), t\geq 0)\quad (\varphi(S_t)\mathbf{1}_{X_t< 0}, t\geq 0)\quad (\varphi(S_t)\text\textbf{1}_{X_t> 0}, t\geq 0), \] \[ (\varphi(S_{g_t}), t\geq 0)\quad (\varphi(S_{g_t})\mathbf{1}_{X_t< 0}, t\geq 0)\quad (\varphi(S_{g_t})\text\textbf{1}_{X_t> 0}, t\geq 0), \] \[ (\varphi(S_{d_t}), t\geq 0)\quad (\varphi(S_{d_t})\mathbf{1}_{X_t< 0}, t\geq 0)\quad (\varphi(S_{d_t})\text\textbf{1}_{X_t> 0}, t\geq 0). \]