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Supremum penalisation of a stable Lévy process

Le : 17/02/2010 09h30
Par : Yuko Yano (Kyoto University, JAPAN)
Lieu :
Lien web :
Résumé : Roynette-Vallois-Yor have studied a limit theorem of Wiener measure weighed by a function of supremum process. In the present talk, we study its generalization for stable Lévy processes. We introduce some class of martingales which we call generalized Azéma-Yor martingales. We also introduce a sigma-finite measure, via h-transforms due to Chaumont, which unifies the limit theorem in the stable Lévy case. The present talk is partially based on a joint work with K. Yano and M. Yor.