Some extensions of Pitman and Ray-Knight theorems for penalized Brownian motions and their local times, IV
2007 ◽
Vol 44
(4)
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pp. 469-516
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We show that Pitman’s theorem relating Brownian motion and the BES (3) process, as well as the Ray-Knight theorems for Brownian local times remain valid, mutatis mutandis, under the limiting laws of Brownian motion penalized by a function of its one-sided maximum.
2010 ◽
Vol 10
(03)
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pp. 315-339
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1991 ◽
Vol 43
(5)
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pp. 897-938
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1992 ◽
Vol 29
(04)
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pp. 996-1002
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2000 ◽
Vol 32
(01)
◽
pp. 177-192
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Keyword(s):
2013 ◽
Vol 45
(01)
◽
pp. 37-50
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