Penalisations of multidimensional Brownian motion, VI

Abstract : As in preceding papers in which we studied the limits of penalized one-dimensional Wiener measures with certain functionals Γt, we obtain here the existence of the limit, as t → ∞, of d-dimensional Wiener measures penalized by a function of the maximum up to time t of the Brownian winding process (for d = 2), or in d ≥ 2 dimensions for Brownian motion prevented to exit a cone before time t. Various extensions of these multidimensional penalisations are studied, and the limit laws are described. Throughout this paper, the skew-product decomposition of d-dimensional Brownian motion plays an important role.
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ESAIM: Probability and Statistics, EDP Sciences, 2009, 13, pp.152-180. 〈10.1051/ps:2008003〉
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Bernard Roynette, Pierre Vallois, Marc Yor. Penalisations of multidimensional Brownian motion, VI. ESAIM: Probability and Statistics, EDP Sciences, 2009, 13, pp.152-180. 〈10.1051/ps:2008003〉. 〈hal-00591324〉

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