Factorising brownian motion at two boundaries ; an example
Paul McGill (1989)
Annales de l'I.H.P. Probabilités et statistiques
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Paul McGill (1989)
Annales de l'I.H.P. Probabilités et statistiques
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Philip Protter, Alain-Sol Sznitman (1983)
Séminaire de probabilités de Strasbourg
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Martin T. Barlow, Edwin A. Perkins (1983)
Séminaire de probabilités de Strasbourg
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Bernard Roynette, Pierre Vallois, Marc Yor (2009)
ESAIM: Probability and Statistics
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As in preceding papers in which we studied the limits of penalized 1-dimensional Wiener measures with certain functionals Γ, we obtain here the existence of the limit, as → ∞, of -dimensional Wiener measures penalized by a function of the maximum up to time of the Brownian winding process (for ), or in 2 dimensions for Brownian motion prevented to exit a cone before time . Various extensions of these multidimensional penalisations are studied, and the limit laws...
Koichiro Takaoka (1997)
Séminaire de probabilités de Strasbourg
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Jonathan Warren, Marc Yor (1998)
Séminaire de probabilités de Strasbourg
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Jonathan Warren (1997)
Séminaire de probabilités de Strasbourg
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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: . 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]).
Haya Kaspi, Jay S. Rosen (2000)
Séminaire de probabilités de Strasbourg
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