Penalisation of the symmetric random walk by several functions of the supremum

Details Penalisation of the symmetric random walk by several functions of the supremum Penalisation of the symmetric random walk by several functions of the supremum

2010-12-14

arxiv.org/abs/1012.2956v1

Mathematics

Probability

Scientific paper

In this paper, we penalised the standard random walk by several functions of
its maximum. The aim is to show that in spite of very close penalisation
functions, under the new probabilities, the canonical process behaves very
differently.

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