Some penalisations of the Wiener measure
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Publication:1000318
DOI10.1007/s11537-006-0507-0zbMath1160.60315MaRDI QIDQ1000318
Marc Yor, Pierre Vallois, 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
Brownian motion; Wiener measure; three-dimensional Bessel process; supremum process; path decompositions; age process of excursions; Brownian windings; Lévy and Pitman theorems
60G44: Martingales with continuous parameter
60J60: Diffusion processes
60F17: Functional limit theorems; invariance principles
60H20: Stochastic integral equations
60F99: Limit theorems in probability theory