Skip to Main content Skip to Navigation
Journal articles

Pénalisation de la marche aléatoire standard par une fonction du maximum unilatère, du temps local en zéro et de la longueur des excursions.

Abstract : This article is the discrete conterpart of certain results obtained by Roynette-Vallois-Yor for the Brownian motion. Let us consider a probability measure P under which the chain (Xn,n>=0) is the symmetric random walk. We penalize this random walk by a function of its maximum (resp. its local time, length of its excursions). We obtain a new probability measure Q and we study the law of (Xn,n>=0) under this new probability.
Document type :
Journal articles
Complete list of metadata

Cited literature [6 references]  Display  Hide  Download

https://hal.archives-ouvertes.fr/hal-00136421
Contributor : Pierre Debs Connect in order to contact the contributor
Submitted on : Tuesday, March 13, 2007 - 7:51:50 PM
Last modification on : Tuesday, August 17, 2021 - 4:06:04 PM
Long-term archiving on: : Friday, September 21, 2012 - 12:55:08 PM

File

articlefinalbibchange.pdf
Files produced by the author(s)

Identifiers

  • HAL Id : hal-00136421, version 1

Collections

Citation

Pierre Debs. Pénalisation de la marche aléatoire standard par une fonction du maximum unilatère, du temps local en zéro et de la longueur des excursions.. Séminaire de Probabilités, Springer-Verlag, 2009, pp.331-363. ⟨hal-00136421⟩

Share

Metrics

Record views

131

Files downloads

67