Brownian penalisations related to excursion lengths, VII
Roynette, B. ; Vallois, P. ; Yor, M.
Annales de l'I.H.P. Probabilités et statistiques, Tome 45 (2009), p. 421-452 / Harvested from Numdam
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Il est prouvé que les lois limites, lorsque t→∞, du mouvement brownien pénalisé par la plus grande longueur des excursions jusqu'en t, ou bien jusqu'au dernier zéro avant t, ou encore jusqu'au premier zéro après t, existent. Ces lois limites sont décrites en détail.

Limiting laws, as t→∞, for brownian motion penalised by the longest length of excursions up to t, or up to the last zero before t, or again, up to the first zero after t, are shown to exist, and are characterized.

Publié le : 2009-01-01
DOI : https://doi.org/10.1214/08-AIHP177
Classification:  60F17,  60F99,  60G17,  60G40,  60G44,  60H10,  60H20,  60J25,  60J55,  60J60,  60J65 
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     title = {Brownian penalisations related to excursion lengths, VII},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     volume = {45},
     year = {2009},
     pages = {421-452},
     doi = {10.1214/08-AIHP177},
     mrnumber = {2521408},
     zbl = {1181.60046},
     language = {en},
     url = {http://dml.mathdoc.fr/item/AIHPB_2009__45_2_421_0}
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Roynette, B.; Vallois, P.; Yor, M. Brownian penalisations related to excursion lengths, VII. Annales de l'I.H.P. Probabilités et statistiques, Tome 45 (2009) pp. 421-452. doi : 10.1214/08-AIHP177. http://gdmltest.u-ga.fr/item/AIHPB_2009__45_2_421_0/

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