On the constructions of the skew Brownian motion.
Lejay, Antoine (2006)
Probability Surveys [electronic only]
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Lejay, Antoine (2006)
Probability Surveys [electronic only]
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Jonathan Warren (1997)
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...
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]).
Xiong, Jie (2004)
Electronic Communications in Probability [electronic only]
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Jonathan Warren, Marc Yor (1998)
Séminaire de probabilités de Strasbourg
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Abraham, Romain, Werner, Wendelin (1997)
Electronic Journal of Probability [electronic only]
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Chigansky, Pavel, Klebaner, Fima C. (2008)
Electronic Communications in Probability [electronic only]
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R.A. Doney (1998)
Séminaire de probabilités de Strasbourg
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Pemantle, Robin, Peres, Yuval, Pitman, Jim, Yor, Marc (2001)
Electronic Journal of Probability [electronic only]
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Matsumoto, Hiroyuki, Yor, Marc (2005)
Probability Surveys [electronic only]
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Aleksander S. Cherny (2001)
Séminaire de probabilités de Strasbourg
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