Some Brownian functionals and their laws

DOI10.1214/AOP/1024404505MaRDI QIDQ1370221zbMATH OpenOpenAlexFDO

Authors Catherine Donati-Martin, Marc Yor

Publication date 20 April 1998

Published in The Annals of Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aop/1024404505

generalized Bessel processes principal values of local times Ray-Knight theorems space-time harmonic functions

Classical hypergeometric functions, ({}_2F_1) (33C05) Local time and additive functionals (60J55) Diffusion processes (60J60) Brownian motion (60J65)

Review text

Starting from the observation that Girsanov's theorem still makes sense when one probability measure is replaced by a signed measure, the authors first consider \(h\)-transforms with non-positive space-time harmonic functions \(h\), and give some examples. This leads them to study Brownian functionals given as principal values, which in turn are related to some quadratic Brownian functionals. Several results on these two types of functionals are presented, mainly recent ones, partly with new proofs and comments. Another section of the article is devoted to a survey on Ray-Knight theorems on local time, together with some new proofs (based on a martingale approach) and with various extensions. Finally, some Laplace transforms of exponential functionals of generalized Bessel processes and of the normalized Brownian excursion are computed. As an application, a result on the porous medium equation is recovered.

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