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Penalizations of the Brownian motion with a functional of its local times

In this article, we study the family of probability measures (indexed by ), obtained by penalization of the Brownian motion with a given functional of its local times at time t. We prove that this family tends to a limit measure when t goes to infinity if the functional satisfies some conditions of domination, and we check these conditions in several particular cases.
Year of publication:
2008
Authors: Najnudel, Joseph
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 118.2008, 8, p. 1407-1433
Publisher: Elsevier
Subject: Penalization Local time Brownian motion
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008874357
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