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Theory of Stochastic Processes, 2008, Volume 14(30), Issue 2, Pages 116–138 (Mi thsp150)  
Penalisations of brownian motion with its maximum and minimum processes as weak forms of Skorokhod embedding

B. Roynettea, P. Valloisa, M. Yorb

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
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Document Type: Article
MSC: 60G17, 60G40, 60G44, 60H10, 60J25, 60J60, 60J65
Language: English
Citation: 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., 14(30):2 (2008), 116–138
Citation in format AMSBIB
\Bibitem{RoyValYor08}
\by B.~Roynette, P.~Vallois, M.~Yor
\paper Penalisations of brownian motion with
its maximum and minimum processes as
weak forms of Skorokhod embedding
\jour Theory Stoch. Process.
\yr 2008
\vol 14(30)
\issue 2
\pages 116--138
\mathnet{http://mi.mathnet.ru/thsp150}
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