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