Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II

DOI10.1556/SScMath.43.2006.3.3zbMath1121.60004arXivmath/0510575OpenAlexW2125555770MaRDI QIDQ3414189

Pierre Vallois, Marc Yor, Bernard Roynette

Publication date: 8 January 2007

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

Full work available at URL: https://arxiv.org/abs/math/0510575

zbMATH Keywords

penalizationlocal timemaximumminimumenlargement of filtrationdown-crossings

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Sample path properties (60G17) Convergence of probability measures (60B10) Local time and additive functionals (60J55) Transition functions, generators and resolvents (60J35)

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