Brownian penalisations related to excursion lengths. VII

DOI10.1214/08-AIHP177zbMath1181.60046OpenAlexW2065348685MaRDI QIDQ838322

Marc Yor, Pierre Vallois, Bernard Roynette

Publication date: 24 August 2009

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/78028

zbMATH Keywords

Brownian meanderpenalisationlongest length of excursions

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Sample path properties (60G17) Functional limit theorems; invariance principles (60F17) Local time and additive functionals (60J55) Stochastic integral equations (60H20) Limit theorems in probability theory (60F99)

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Brownian motion conditioned to spend limited time below a barrier, Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII, Penalization of Galton-Watson processes, Penalisations of multidimensional Brownian motion, VI

Cites Work

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• Penalizing a BES ( d ) process (0 < d < 2) with a function of its local time, V
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