An equation involving local time

Philip Protter; Alain-Sol Sznitman

Displaying similar documents to “An equation involving local time”

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Extending Lévy's characterisation of brownian motion

P. Mc Gill, Bhaskaran Rajeev, B. V. Rao (1988)

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Martin T. Barlow, Edwin A. Perkins (1990)

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Koichiro Takaoka (1997)

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Saul D. Jacka (1989)

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Variably skewed Brownian motion.

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On brownian local time

Martin T. Barlow (1981)

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Branching processes, the Ray-Knight theorem, and sticky brownian motion

Jonathan Warren (1997)

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Local limit theorems for Brownian additive functionals and penalisation of Brownian paths, IX

Bernard Roynette, Marc Yor (2010)

ESAIM: Probability and Statistics

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We obtain a local limit theorem for the laws of a class of Brownian additive functionals and we apply this result to a penalisation problem. We study precisely the case of the additive functional: $(A_{t}^{-} : = \int_{0}^{t} 1_{X_{s} < 0} d s, t \geq 0)$ . On the other hand, we describe Feynman-Kac type penalisation results for long Brownian bridges thus completing some similar previous study for standard Brownian motion (see [B. Roynette, P. Vallois and M. Yor, (2006) 171–246]).