Limiting laws for long Brownian Bridges perturbed by their one-sided maximum, III

Bernard Roynette; Pierre Vallois; Marc Yor

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Limiting laws for long Brownian Bridges perturbed by their one-sided maximum, III

Bernard Roynette·Pierre Vallois·Marc Yor

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Abstract

Results of penalization of a one-dimensional Brownian motion $(X_t) $, by its one-sided maximum $\dis (S_t=\sup_{0 \leq u \leq t}X_u)$, which were recently obtained by the authors are improved with the consideration-in the present paper- of the asymptotic behaviour of the likewise penalized Brownian bridges of length $t$, as $t\to \infty$, or penalizations by functions of $(S_t,X_t)$, and also the study of the speed of convergence, as $t\to \infty$, of the penalized distributions at time $t$.

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Bernard Roynette, Pierre Vallois, Marc Yor. 2005-11-04. Limiting laws for long Brownian Bridges perturbed by their one-sided maximum, III. https://arxiv.org/abs/math/0511102

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