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arXiv:math/0701526 [math.PR]AbstractReferencesReviewsResources

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

Joseph Najnudel

Published 2007-01-18Version 1

In this article, we study the family of probability measures (indexed by a positive real number t), obtained by penalization of the Brownian motion by 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.

Journal: Stochastic Process. Appl., Volume 118 (8), 2008
Categories: math.PR
Subjects: 60B10, 60J65, 60G17, 60G44, 60J25, 60J55
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