Related papers: Limiting laws associated with Brownian motion pert…
We obtain probability measures on the canonical space penalizing the Wiener measure by a function of its maximum (resp. minimum, local time). We study the law of the canonical process under these new probability measures.
In this article, we study the family of probability measures (indexed by a positive real number t), obtained by penalization of the Brownian motion by a given functional of its local times at time t. We prove that this family tends to a…
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…
In this paper, we construct a family of probability measures, by penalizations of a Walsh 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…
In this monograph, we construct and study a sigma-finite measure on continuous functions from R_+ to R, strongly related to many probability measures obtained by penalisation of Brownian motion, i.e. as limits of probabilities which are…
We study some limit theorems for the normalized law of integrated Brownian motion perturbed by several examples of functionals: the first passage time, the nth passage time, the last passage time up to a finite horizon and the supremum. We…
This paper describes the quality of convergence to an infinitely divisible law relative to free multiplicative convolution. We show that convergence in distribution for products of identically distributed and infinitesimal free random…
The free multiplicative Brownian motion $b_{t}$ is the large-$N$ limit of the Brownian motion on $\mathsf{GL}(N;\mathbb{C}),$ in the sense of $\ast $-distributions. The natural candidate for the large-$N$ limit of the empirical distribution…
In this note we investigate the behaviour of Brownian motion conditioned on a growth constraint of its local time which has been previously investigated by Berestycki and Benjamini. For a class of non-decreasing positive functions $f(t);…
The approach to the theory of a relativistic random process is considered by the path integral method as Brownian motion taking into account the boundedness of speed. An attempt was made to build a relativistic analogue of the Wiener…
We construct a family of processes, from a single Poisson process, that converges in law to a complex Brownian motion. Moreover, we find realizations of these processes that converge almost surely to the complex Brownian motion, uniformly…
Quantitative limit theorems for non-linear functionals on the Wiener space are considered. Given the possibly infinite sequence of kernels of the chaos decomposition of such a functional, an estimate for different probability distances…
With $M(t):=\sup_{s\in[0,t]}A(s)-s$ denoting the running maximum of a fractional Brownian motion $A(\cdot)$ with negative drift, this paper studies the rate of convergence of $\mathbb {P}(M(t)>x)$ to $\mathbb{P}(M>x)$. We define two metrics…
The original density is 1 for $t\in (0,1)$, $b$ is an integer base ($b\geq 2$%), and $p\in (0,1)$ is a parameter. The first construction stage divides the unit interval into $b$ subintervals and multiplies the density in each subinterval by…
In this paper we study the asymptotic behaviour of weighted random sums when the sum process converges stably in law to a Brownian motion and the weight process has continuous trajectories, more regular than that of a Brownian motion. We…
In this paper, with the help of a result by Matsumoto--Yor (2000), we prove a Girsanov-type formula for a class of anticipative transforms of Brownian motion which possesses exponential functionals as anticipating factors. Our result…
We consider exponential functionals of a multi-dimensional Brownian motion with drift, defined via a collection of linear functionals. We give a characterization of the Laplace transform of their joint law as the unique bounded solution, up…
We prove a convergence theorem for a sequence of super-Brownian motions moving among hard Poissonian obstacles, when the intensity of the obstacles grows to infinity but their diameters shrink to zero in an appropriate manner. The…
We study the asymptotic behaviour of a properly normalized time changed Wiener processes. The time change reflects the fact that we consider the Laplace operator (which generates a Wiener process) multiplied by a possibly degenerate…
Brownian motion is a Gaussian process described by the central limit theorem. However, exponential decays of the positional probability density function $P(X,t)$ of packets of spreading random walkers, were observed in numerous situations…