P\'{e}nalisations of Walsh's Brownian motion

Publication date 16 June 2005

Convergence of probability measures (60B10) Brownian motion (60J65) Continuous-time Markov processes on general state spaces (60J25) Sample path properties (60G17) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

Abstract: In this paper, we construct a family of probability measures, by penalizations of a Walsh's Brownian motion with a weight dependent on its value and its local time at a time t. We prove that this family converges to a probability measure as t tends to infinity, and we study the behaviour of this limit measure.

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