Brownian penalisations related to excursion lengths, VII
Annales de l'I.H.P. Probabilités et statistiques, Tome 45 (2009) no. 2, pp. 421-452.

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.

DOI : 10.1214/08-AIHP177
Classification : 60F17, 60F99, 60G17, 60G40, 60G44, 60H10, 60H20, 60J25, 60J55, 60J60, 60J65
Mots clés : longest length of excursions, brownian meander, penalisation
@article{AIHPB_2009__45_2_421_0,
     author = {Roynette, B. and Vallois, P. and Yor, M.},
     title = {Brownian penalisations related to excursion lengths, {VII}},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     pages = {421--452},
     publisher = {Gauthier-Villars},
     volume = {45},
     number = {2},
     year = {2009},
     doi = {10.1214/08-AIHP177},
     mrnumber = {2521408},
     zbl = {1181.60046},
     language = {en},
     url = {http://archive.numdam.org/articles/10.1214/08-AIHP177/}
}
TY  - JOUR
AU  - Roynette, B.
AU  - Vallois, P.
AU  - Yor, M.
TI  - Brownian penalisations related to excursion lengths, VII
JO  - Annales de l'I.H.P. Probabilités et statistiques
PY  - 2009
SP  - 421
EP  - 452
VL  - 45
IS  - 2
PB  - Gauthier-Villars
UR  - http://archive.numdam.org/articles/10.1214/08-AIHP177/
DO  - 10.1214/08-AIHP177
LA  - en
ID  - AIHPB_2009__45_2_421_0
ER  - 
%0 Journal Article
%A Roynette, B.
%A Vallois, P.
%A Yor, M.
%T Brownian penalisations related to excursion lengths, VII
%J Annales de l'I.H.P. Probabilités et statistiques
%D 2009
%P 421-452
%V 45
%N 2
%I Gauthier-Villars
%U http://archive.numdam.org/articles/10.1214/08-AIHP177/
%R 10.1214/08-AIHP177
%G en
%F AIHPB_2009__45_2_421_0
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) no. 2, pp. 421-452. doi : 10.1214/08-AIHP177. http://archive.numdam.org/articles/10.1214/08-AIHP177/

[1] J. Azéma and M. Yor. Étude d'une martingale remarquable. In Séminaire de Probabilités, XXIII 88-130. Lecture Notes in Math. 1372. Springer, Berlin, 1989. | Numdam | MR | Zbl

[2] M. Chesney, M. Jeanblanc-Picqué and M. Yor. Brownian excursions and Parisian barrier options. Adv. in Appl. Probab. 29 (1997) 165-184. | MR | Zbl

[3] B. Demeyer, B. Roynette, P. Vallois and M. Yor. On independent times and positions for Brownian motions. Rev. Mat. Iberoamericana 18 (2002) 541-586. | MR | Zbl

[4] R. K. Getoor. On the construction of kernels. In Séminaire de Probabilités, IX (Seconde Partie, Univ. Strasbourg, Strasbourg, années universitaires 1973/1974 et 1974/1975) 443-463. Lecture Notes in Math. 465. Springer, Berlin, 1975. | Numdam | MR | Zbl

[5] Y. Hu and Z. Shi. Extreme lengths in Brownian and Bessel excursions. Bernoulli 3 (1997) 387-402. | MR | Zbl

[6] T. Jeulin. Semi-martingales et grossissement d'une filtration. Lecture Notes in Mathematics 833. Springer, Berlin, 1980. | MR | Zbl

[7] F. B. Knight. On the duration of the longest excursion. In Seminar on Stochastic Processes, 1985 (Gainesville, Fla., 1985) 117-147. Progr. Probab. Statist. 12. Birkhäuser Boston, Boston, MA, 1986. | MR | Zbl

[8] N. N. Lebedev. Special Functions and Their Applications. Dover, New York, 1972. (Revised edition, translated from the Russian and edited by Richard A. Silverman, Unabridged and corrected republication.) | Zbl

[9] P. A. Meyer. Probabilités et potentiel. In Publications de l'Institut de Mathématique de l'Université de Strasbourg, XIV. Actualités Scientifiques et Industrielles 1318. Hermann, Paris, 1966. | MR | Zbl

[10] D. Revuz and M. Yor. Continuous Martingales and Brownian Motion, 3rd edition. Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences] 293. Springer, Berlin, 1999. | MR | Zbl

[11] B. Roynette, P. Vallois and M. Yor. Limiting laws for long Brownian bridges perturbed by their one-sided maximum, III. Period. Math. Hungar. 50 (2005) 247-280. | MR | Zbl

[12] B. Roynette, P. Vallois and M. Yor. Limiting laws associated with Brownian motion perturbed by normalized exponential weights, I. Studia Sci. Math. Hungar. 43 (2006) 171-246. | MR | Zbl

[13] B. Roynette, P. Vallois and M. Yor. Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II. Studia Sci. Math. Hungar. 43 (2006) 295-360. | MR | Zbl

[14] B. Roynette, P. Vallois and M. Yor. Some penalisations of the Wiener measure. Japan J. Math. 1 (2006) 263-290. | MR | Zbl

[15] B. Roynette, P. Vallois and M. Yor. Some extensions of Pitman's and Ray-Knight's theorems for penalized Brownian motions and their local times, IV. Studia Sci. Math. Hungar. 44 (2007) 469-516. | MR | Zbl

[16] B. Roynette, P. Vallois and M. Yor. Penalizing a Bes(d) process (0<d<2) with a function of its local time at 0, V. Studia Sci. Math. Hungar. 45 (2009), 67-124. | MR | Zbl

[17] B. Roynette, P. Vallois and M. Yor. Penalisations of multidimensional Brownian motion, VI. To appear in ESAIM PS (2009). | Numdam | MR

Cité par Sources :