Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156969 | Stochastic Processes and their Applications | 2008 | 27 Pages |
Abstract
In this article, we study the family of probability measures (indexed by t∈R+∗), obtained by penalization of the Brownian motion with a given functional of its local times at time tt.We prove that this family tends to a limit measure when tt goes to infinity if the functional satisfies some conditions of domination, and we check these conditions in several particular cases.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Joseph Najnudel,