Displaying similar documents to “Further exponential generalization of Pitman's 2 M - X theorem.”

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]).

Penalisations of multidimensional Brownian motion, VI

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...

Brownian particles with electrostatic repulsion on the circle : Dyson’s model for unitary random matrices revisited

Emmanuel Cépa, Dominique Lépingle (2001)

ESAIM: Probability and Statistics

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The brownian motion model introduced by Dyson [7] for the eigenvalues of unitary random matrices N × N is interpreted as a system of N interacting brownian particles on the circle with electrostatic inter-particles repulsion. The aim of this paper is to define the finite particle system in a general setting including collisions between particles. Then, we study the behaviour of this system when the number of particles N goes to infinity (through the empirical measure process). We prove that...