LIMITING LAWS ASSOCIATED WITH BROWNIAN MOTION PERTURBED BY NORMALIZED EXPONENTIAL WEIGHTS, I
By Bernard Roynette, Pierre Vallois, Marc Yor. 2005
48 citations recorded by the source corpus.
We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to Brownian motion up to time t. This permits to prove that the Wiener measure, penalized by this multiplicative functional, converges as t goes to infinity to a probability measure (p.m.) . We obtain the law of the canonical process under this new p.m.
Subfields: Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/be9b64f891fb7e18147b5c43992a63927d0866cf
How researchers see this paper
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In Finance
- Bernard Roynette
- Marc Yor
- Pierre Vallois
- Vadim Linetsky
- Daniel Dufresne
- Hiroyuki Matsumoto
- Pierre Patie
- Ashkan Nikeghbali
In Mathematical Physics
- Bernard Roynette
- Marc Yor
- Pierre Vallois
- Neil O'Connell
- Jim Pitman
- Hiroyuki Matsumoto
- Francesco Russo
- Daniel Dufresne
Citations in the corpus
- Some penalisations of the Wiener measure (2006, background): “Theorems 4.1 and 4.4 are found respectively in [ RVY2 ] and [RVY6].”