Penalizations of the Brownian motion with a functional of its local times (Q936398)
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scientific article; zbMATH DE number 5311372
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| English | Penalizations of the Brownian motion with a functional of its local times |
scientific article; zbMATH DE number 5311372 |
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Penalizations of the Brownian motion with a functional of its local times (English)
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13 August 2008
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In the paper, the family of probability measures (indexed by \(t \in {\mathbb R}^*_+\)) is studied, obtained by penalization of the Brownian motion with a given functional of its local times at time \(t\). It is proved that this family tends to a limit measure when \(t\) goes to infinity if the functional satisfies some conditions of domination, and these conditions are checked in several particular cases.
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Penalization
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local time
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Brownian motion
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0.9002669
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0.90003103
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0.89811623
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0.89738774
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0.89581776
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0.89471066
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0.89422286
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