Some extensions of Pitman's and Ray-Knight's theorems for penalized Brownian motions and their local times, IV

Bernard Roynette (1, 2) , Pierre P. Vallois (1, 2) , Marc Yor (3)

1 IECN - Institut Élie Cartan de Nancy
2 TOSCA - Simuler et calibrer des modèles stochastiques
3 LPMA - Laboratoire de Probabilités et Modèles Aléatoires

We give some extensions of Pitman's and Ray-Knight's theorems via a penalization procedure involving Brownian motion and its local time at 0

Domaines: Probabilités [math.PR]

Bernard Roynette, Pierre P. Vallois, Marc Yor. Some extensions of Pitman's and Ray-Knight's theorems for penalized Brownian motions and their local times, IV. Studia Scientiarum Mathematicarum Hungarica, 2007, 44 (4), pp.469-516. ⟨10.1556/SScMath.2007.1032⟩. ⟨hal-00141528⟩