Some limiting laws associated with the integrated Brownian motion

Profeta, Christophe

ESAIM: Probability and Statistics, Tome 19 (2015), pp. 148-171.

We study some limit theorems for the normalized law of integrated Brownian motion perturbed by several examples of functionals: the first passage time, the $n$th passage time, the last passage time up to a finite horizon and the supremum. We show that the penalization principle holds in all these cases and give descriptions of the conditioned processes. In particular, it is remarkable that the penalization by the $n$th passage time is independent of $n$, and always gives the same penalized process, i.e. integrated Brownian motion conditioned not to hit 0. Our results rely on some explicit formulae obtained by Lachal and on enlargement of filtrations.

Classification : 60J65, 60G15, 60G44
Mots clés : Integrated Brownian motion, penalization, passage times

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