Perturbed Brownian motions

被引:64
作者
Perman, M [1 ]
Werner, W [1 ]
机构
[1] ECOLE NORMALE SUPER, CNRS, MATH LAB, F-75230 PARIS 05, FRANCE
关键词
D O I
10.1007/s004400050113
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We study 'perturbed Brownian motions', that can be, loosely speaking, described as follows: they behave exactly as linear Brownian motion except when they hit their past maximum or/and maximum where they get an extra 'push'. We define with no restrictions on the perturbation parameters a process which has this property and show that its law is unique within a certain 'natural class' of processes. In the case where both perturbations (at the maximum and at the minimum) are self-repelling, we show that in fact, more is true: Such a process can almost surely be constructed from Brownian paths by a one-to-one measurable transformation. This generalizes some results of Carmona-Petit-Yor and Davis. We also derive some fine properties of perturbed Brownian motions (Hausdorff dimension of points of monotonicity for example).
引用
收藏
页码:357 / 383
页数:27
相关论文
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