Local time penalizations with various clocks for one-dimensional diffusions
Abstract
For a generalized one-dimensional diffusion, we consider the measure weighted and normalized by a non-negative function of the local time evaluated at a parametrized family of random times, which we will call a clock. The aim is to give a systematic study of the penalization with the clock, i.e., its limit as the clock tends to infinity. We also discuss universal σ-finite measures which govern certain classes of penalizations, thus giving a path interpretation of these penalized processes.
Domains
Probability [math.PR]
Origin : Files produced by the author(s)
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