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

DOI10.1556/SScMath.2007.1032zbMath1164.60355MaRDI 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

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

Mathematics Subject Classification ID

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

60J65: Brownian motion

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

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60G17: Sample path properties

60J55: Local time and additive functionals

60J35: Transition functions, generators and resolvents

Related Items

Penalisations of multidimensional Brownian motion, VI, Brownian penalisations related to excursion lengths. VII, Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII, Some penalisations of the Wiener measure