Pénalisations of Walsh's Brownian motion

Details Pénalisations of Walsh's Brownian motion Pénalisations of Walsh's Brownian motion

2005-06-16

arxiv.org/abs/math/0506329v1

Mathematics

Probability

Scientific paper

In this paper, we construct a family of probability measures, by
penalizations of a Walsh's Brownian motion with a weight dependent on its value
and its local time at a time t. We prove that this family converges to a
probability measure as t tends to infinity, and we study the behaviour of this
limit measure.

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