B. Roynette, P. Vallois, M. Yor, “Penalisations of brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding”, Theory Stoch. Process., 2008, Volume 14(30), Issue 2,Pages <nobr>116

Penalisations of brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding

B. Roynette^a, P. Vallois^a, M. Yor^b

^a Institut Elie Cartan, Université Henri Poincaré, B.P.239, 54506 Vandoeuvre les Nancy Cedex
^b Laboratoire de Probabilités et Modèles Aléatoires, Université Paris VI et VII 4 place Jussien-Case 188; F-75252 Paris Cedex 05; Institut Universitaire de France

MSC: 60G17, 60G40, 60G44, 60H10, 60J25, 60J60, 60J65

Language: English