Penalizing a BES(d) process (0 < d < 2) with a function of its local time, V

Bernard Roynette 1, 2 Pierre Vallois 1, 2 Marc Yor 3
2 TOSCA
INRIA Lorraine, CRISAM - Inria Sophia Antipolis - Méditerranée , UHP - Université Henri Poincaré - Nancy 1, Université Nancy 2, INPL - Institut National Polytechnique de Lorraine, CNRS - Centre National de la Recherche Scientifique : UMR7502
Abstract : We study the penalization of a BES(d) process (0
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Bernard Roynette, Pierre Vallois, Marc Yor. Penalizing a BES(d) process (0 < d < 2) with a function of its local time, V. Studia Scientiarum Mathematicarum Hungarica, Akadémiai Kiadó, 2008, 45 (1), pp.67-124. ⟨hal-00141533⟩

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