We develop some topics about Brownian motion with a particular
emphasis on the study of principal values of Brownian local times. We show some
links between principal values and Doob’s $h$-transforms of Brownian
motion, for nonpositive harmonic functions $h$. We also give a survey and
complement some martingale approaches to Ray–Knight theorems for local
times.
Publié le : 1997-07-14
Classification:
Space-time harmonic functions,
principal values of local times,
Ray-Knight theorems,
generalized Bessel processes,
60J55,
60J60,
60J65,
33C05
@article{1024404505,
author = {Donati-Martin, C. and Yor, M.},
title = {Some Brownian functionals and their laws},
journal = {Ann. Probab.},
volume = {25},
number = {4},
year = {1997},
pages = { 1011-1058},
language = {en},
url = {http://dml.mathdoc.fr/item/1024404505}
}
Donati-Martin, C.; Yor, M. Some Brownian functionals and their laws. Ann. Probab., Tome 25 (1997) no. 4, pp. 1011-1058. http://gdmltest.u-ga.fr/item/1024404505/