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