Penalisations of multidimensional Brownian motion, VI

DOI10.1051/ps:2008003zbMath1189.60069MaRDI QIDQ5851016

Bernard Roynette, Pierre Vallois, Marc Yor

Publication date: 21 January 2010

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/245013

zbMATH Keywords

Dirichlet problem; spectral decomposition; Brownian windings; skew-product decomposition

Mathematics Subject Classification ID

60G44: Martingales with continuous parameter

60J60: Diffusion processes

60F17: Functional limit theorems; invariance principles

60H20: Stochastic integral equations

60F99: Limit theorems in probability theory

Related Items

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, The shape of multidimensional Brunet-Derrida particle systems, Feynman-Kac penalization problem for additive functionals with jumping functions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Brownian penalisations related to excursion lengths. VII
• Some penalisations of the Wiener measure
• Asymptotic laws of planar Brownian motion
• A new proof of Spitzer's result on the winding of two dimensional Brownian motion
• Further asymptotic laws of planar Brownian motion
• Penalising Brownian paths. Dedicated to Frank Knight (1933-2007).
• Le spectre d'une variété riemannienne. (The spectrum of a Riemannian manifold)
• Limiting laws for long Brownian bridges perturbed by their one-sided maximum. III
• Multidimensional diffusion processes.
• Some Theorems Concerning 2-Dimensional Brownian Motion
• Limiting laws associated with Brownian motion perturbed by normalized exponential weights, I
• Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II
• Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times, IV
• On time inversion of one-dimensional diffusion processes
• Penalizing a BES ( d ) process (0 < d < 2) with a function of its local time, V
• The accuracy of Cauchy approximation for the windings of planar Brownian motion