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

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  • Najnudel, Joseph

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.

Suggested Citation

  • Najnudel, Joseph, 2008. "Penalizations of the Brownian motion with a functional of its local times," Stochastic Processes and their Applications, Elsevier, vol. 118(8), pages 1407-1433, August.
    • Handle: RePEc:eee:spapps:v:118:y:2008:i:8:p:1407-1433
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