Limiting laws associated with Brownian motion perturbed by normalized exponential weights, I

DOI10.1556/SScMath.43.2006.2.3zbMath1121.60027MaRDI QIDQ3414142

Marc Yor, Pierre Vallois, Bernard Roynette

Publication date: 8 January 2007

Published in: Studia Scientiarum Mathematicarum Hungarica (Search for Journal in Brave)

zbMATH Keywords

penalization; Sturm-Liouville equation; Bessel processes; Ray-Knight's theorems; rate convergence; normalized exponential weights

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60G44: Martingales with continuous parameter

60F10: Large deviations

60F17: Functional limit theorems; invariance principles

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