Limiting laws associated with Brownian motion perturbed by its maximum, minmum and local time II

Bernard Roynette; Pierre Vallois; Marc Yor

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Limiting laws associated with Brownian motion perturbed by its maximum, minmum and local time II

Bernard Roynette·Pierre Vallois·Marc Yor

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Abstract

We obtain probability measures on the canonical space penalizing the Wiener measure by a function of its maximum (resp. minimum, local time). We study the law of the canonical process under these new probability measures.

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Bernard Roynette, Pierre Vallois, Marc Yor. 2005-10-26. Limiting laws associated with Brownian motion perturbed by its maximum, minmum and local time II. https://arxiv.org/abs/math/0510575

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