Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II

By Bernard Roynette, Pierre Vallois, Marc Yor. 2005

62 citations recorded by the source corpus.

Let us denote by \documentclass{aastex} \usepackage{amsbsy} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{bm} \usepackage{mathrsfs} \usepackage{pifont} \usepackage{stmaryrd} \usepackage{textcomp} \usepackage{upgreek} \usepackage{portland,xspace} \usepackage{amsmath,amsxtra} \usepackage{bbm} \pagestyle{empty} \DeclareMathSizes{10}{9}{7}{6} \begin{document} \(P_0\) \end{document} the Wiener measure defined on the canonical space \documentclass{aastex} \usepackage{amsbsy} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{bm} \usepackage{mathrsfs} \usepackage{pifont} \usepackage{stmaryrd} \usepackage{textcomp} \usepackage{upgreek} \usepackage{portland,xspace} \usepackage{amsmath,amsxtra} \usepackage{bbm} \pagestyle{empty} \DeclareMathSizes{10}{9}{7}{6} \begin{document} \(\big(\Omega=\mathcal{C}(\mathbb{R}_+, \mathbb{R})\) \end{document}, \documentclass{aastex} \usepackage{amsbsy} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{bm} \usepackage{mathrsfs} \usepackage{pifont} \usepackage{stma...

Subfields: Finance, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/fabed71a505349fe18ef211c9718b750e6e67750

Citations in the corpus

• LIMITING LAWS ASSOCIATED WITH BROWNIAN MOTION PERTURBED BY NORMALIZED EXPONENTIAL WEIGHTS, I (2005, unknown): “7) In a subsequent study [28], we consider a similar problem, replacing the exponential weight exp { − 1 2 ∫ t 0 V (Bv)dv }”
• Some penalisations of the Wiener measure (2006, unknown): “Theorem 3.1 and Theorem 3.2 are found respectively in [ RVY3 ] and [RVY1].”