Some penalisations of the Wiener measure

DOI10.1007/s11537-006-0507-0zbMath1160.60315OpenAlexW2005439504MaRDI QIDQ1000318

Pierre Vallois, Marc Yor, Bernard Roynette

Publication date: 6 February 2009

Published in: Japanese Journal of Mathematics. 3rd Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11537-006-0507-0

zbMATH Keywords

Brownian motionWiener measurethree-dimensional Bessel processsupremum processpath decompositionsage process of excursionsBrownian windingsLévy and Pitman theorems

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17) Stochastic integral equations (60H20) Limit theorems in probability theory (60F99)

Related Items (28)

Unique quasi-stationary distribution, with a possibly stabilizing extinction ⋮ Penalizations of Walsh Brownian motion ⋮ Brownian penalisations related to excursion lengths. VII ⋮ Penalising symmetric stable Lévy paths ⋮ Exponential convergence to quasi-stationary distribution and \(Q\)-process ⋮ A remarkable \(\sigma\)-finite measure unifying supremum penalisations for a stable Lévy process ⋮ Construction of an Edwards' probability measure on \(\mathcal C(\mathbb R_+, \mathbb R)\) ⋮ Hidden Dissipation and Convexity for Kimura Equations ⋮ Local time penalizations with various clocks for Lévy processes ⋮ General criteria for the study of quasi-stationarity ⋮ Penalisation of a stable Lévy process involving its one-sided supremum ⋮ On some universal \(\sigma\)-finite measures related to a remarkable class of submartingales ⋮ Uniform convergence of penalized time-inhomogeneous Markov processes ⋮ Feynman-Kac penalization problem for additive functionals with jumping functions ⋮ On some properties of universal sigma-finite measures associated with a remarkable class of submartingales ⋮ Feynman-Kac penalizations of rotationally symmetric \(\alpha\)-stable processes ⋮ A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations ⋮ An integral test for the transience of a Brownian path with limited local time ⋮ Cameron-Martin formula for the \(\sigma \)-finite measure unifying Brownian penalisations ⋮ Some limiting laws associated with the integrated Brownian motion ⋮ On σ-Finite Measures Related to the Martin Boundary of Recurrent Markov Chains ⋮ Markov bridges: SDE representation ⋮ Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII ⋮ Transience and Recurrence of Markov Processes with Constrained Local Time ⋮ Local limit theorems for Brownian additive functionals and penalisation of Brownian paths, IX ⋮ Penalization of Galton-Watson processes ⋮ Penalisations of multidimensional Brownian motion, VI ⋮ On universality in penalisation problems with multiplicative weights

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Asymptotic laws of planar Brownian motion
• On Edwards' model for long polymer chains
• Characterizing all diffusions with the 2M-X property
• On Edwards' model for polymer chains. II: The self-consistent potential
• Further asymptotic laws of planar Brownian motion
• Brownian motion in cones
• Uniqueness of Gibbs measures relative to Brownian motion
• Gibbs measures relative to Brownian motion
• Le spectre d'une variété riemannienne. (The spectrum of a Riemannian manifold)
• Limiting laws for long Brownian bridges perturbed by their one-sided maximum. III
• Some Theorems Concerning 2-Dimensional Brownian Motion
• Limiting laws associated with Brownian motion perturbed by normalized exponential weights, I
• Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II
• Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times, IV
• One-dimensional Brownian motion and the three-dimensional Bessel process
• Penalizing a BES ( d ) process (0 < d < 2) with a function of its local time, V
• The statistical mechanics of polymers with excluded volume

This page was built for publication: Some penalisations of the Wiener measure