Displaying similar documents to “Positivity of Brownian transition densities.”

Strict fine maxima.

Fitzsimmons, P.J. (2000)

Electronic Communications in Probability [electronic only]

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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 - : = 0 t 1 X s < 0 d s , t 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]).