Displaying similar documents to “Some properties of the Feynman-Kac functional.”

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

Bernard Roynette, Marc Yor (2010)

ESAIM: Probability and Statistics


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]).