Penalising symmetric stable Lévy paths
YANO, Kouji ; YANO, Yuko ; YOR, Marc
J. Math. Soc. Japan, Tome 61 (2009) no. 3, p. 757-798 / Harvested from Project Euclid
Limit theorems for the normalized laws with respect to two kinds of weight functionals are studied for any symmetric stable Lévy process of index $1 < \alpha \le 2$ . The first kind is a function of the local time at the origin, and the second kind is the exponential of an occupation time integral. Special emphasis is put on the role played by a stable Lévy counterpart of the universal $\sigma $ -finite measure, found in [9] and [10], which unifies the corresponding limit theorems in the Brownian setup for which $\alpha = 2$ .
Publié le : 2009-07-15
Classification:  penalization,  stable process,  local time,  excursion measure,  60B10,  60G52,  60G44
@article{1248961478,
     author = {YANO, Kouji and YANO, Yuko and YOR, Marc},
     title = {Penalising symmetric stable L\'evy paths},
     journal = {J. Math. Soc. Japan},
     volume = {61},
     number = {3},
     year = {2009},
     pages = { 757-798},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1248961478}
}
YANO, Kouji; YANO, Yuko; YOR, Marc. Penalising symmetric stable Lévy paths. J. Math. Soc. Japan, Tome 61 (2009) no. 3, pp.  757-798. http://gdmltest.u-ga.fr/item/1248961478/