Article ID Journal Published Year Pages File Type
4592032 Journal of Functional Analysis 2008 35 Pages PDF
Abstract

We penalise Brownian motion by a function of its one-sided supremum considered up to the last zero before t, respectively first zero after t, of that Brownian motion. This study presents some analogy with penalisation by the longest length of Brownian excursions, up to time t.

Related Topics
Physical Sciences and Engineering Mathematics Algebra and Number Theory