Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4592032 | Journal of Functional Analysis | 2008 | 35 Pages |
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