|
|||||
|
|
Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times, VIII |
|
| Authors: | B. Roynette |
| Affiliation: | a Institut Elie Cartan, Université Henri Poincaré, B.P. 239, 54506 Vandoeuvre les Nancy Cedex, France b Laboratoire de Probabilités et Modèles Aléatoires, Université Paris VI et VII, 4 place Jussieu, Case 188, F-75252 Paris Cedex 05, France c Institut Universitaire de France, France |
| Abstract: | We penalise Brownian motion by a function of its one-sided supremum considered up to the last zero before t, respectively first zero after t, of that Brownian motion. This study presents some analogy with penalisation by the longest length of Brownian excursions, up to time t. |
| Keywords: | Penalisations of Brownian paths One-sided supremum Last and first zeroes before and after a fixed time t |
| 本文献已被 ScienceDirect 等数据库收录！ | |