Some Brownian functionals and their laws

• 成果类型: Article
• 署名作者: Donati-Martin, C; Yor, M
• 署名单位: Sorbonne Universite
• 刊物名称: ANNALS OF PROBABILITY
• ISSN/ISSBN: 0091-1798
• 发表日期: 1997
• 页码: 1011-1058
• 关键词: ray-knight theorem; STOCHASTIC INTEGRALS; bessel processes; local-times; excursions; FORMULA; path

摘要

We develop some topics about Brownian motion with a particular emphasis on the study of principal values of Brownian local times. We show some links between principal values and Doob's h-transforms of Brownian motion, for nonpositive harmonic functions h. We also give a survey and complement some martingale approaches to Ray-Knight theorems for local times.