Limiting laws for long Brownian bridges perturbed by their one-sided maximum. III

DOI10.1007/s10998-005-0015-7zbMath1150.60308arXivmath/0511102MaRDI QIDQ2568555

Marc Yor, Pierre Vallois, Bernard Roynette

Publication date: 26 January 2006

Published in: Periodica Mathematica Hungarica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0511102

zbMATH Keywords

penalization; local time; Pitman's theorem; long Brownian bridges; one-sided maximum

Mathematics Subject Classification ID

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

60G40: Stopping times; optimal stopping problems; gambling theory

60G44: Martingales with continuous parameter

60G17: Sample path properties

60B10: Convergence of probability measures

60J35: Transition functions, generators and resolvents

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