Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times, IV

DOI10.1556/SScMath.2007.1032zbMath1164.60355OpenAlexW2121215834MaRDI QIDQ3531326

Bernard Roynette, Marc Yor, Pierre Vallois

Publication date: 22 October 2008

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

Full work available at URL: https://doi.org/10.1556/sscmath.2007.1032

zbMATH Keywords

penalizationlocal timePitman's theoremRay-Knight's theoremslong Brownian bridgesone-sided maximum

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) Local time and additive functionals (60J55) Transition functions, generators and resolvents (60J35)

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