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

Joseph Najnudel

Stochastic Processes and their Applications, 2008, vol. 118, issue 8, 1407-1433

Abstract: 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.

Keywords: Penalization; Local; time; Brownian; motion (search for similar items in EconPapers)
Date: 2008
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