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Lecture Series

Lectures (Professor Marc Yor)

Penalisations of Brownian Motion

Abstract:
The series of lectures will consist in the study of asymptotic laws obtained for large time, as T goes to infinity when one perturbs the Wiener measure by a weight involving some quantity which depends on the Brownian particle between 0 and T. In a series of recent papers by B. Roynette, P. Vallois and M. Yor, a large number of such weights have been proposed, for which asymptotic laws exist, and may be described with the help of, e.g., Williams' path decomposition and Pitman's theorem

Lectures will be held in Term 1 as follows:

Week 2  
Monday 3 October, Professor M. Yor 11.00 - 13.00hrs (Rm A1.01)
Tuesday 4 October, J. Najnudel 11.00 - 12.00hrs (Exercises & Illustrations, Rm A1.01)
Wednesday 5 October, Professor M. Yor 14.00 - 16.00hrs (Rm A1.01)
Thursday 6 October, J. Najnudel 11.00 - 12.00hrs (Exercises & Illustrations, Rm A1.01)
Friday 7 October, Professor M Yor 14.00 - 16.00hrs (Rm B1.01)
Week 3  
Monday 10 October, Professor M. Yor 11.00 - 13.00hrs (Rm A1.01)
Tuesday 11 October, J. Najnudel 11.00 - 12.00hrs (Exercises & Illustrations, Rm A1.01)
Wedneday 12 October, Professor M. Yor 14.00 - 16.00hrs (Rm A1.01)
Thursday 13 October, J. Najnudel 11.00 - 12.00hrs (Exercises & Illustrations, Rm A1.01)
Friday 14 October, Professor M. Yor 14.00 - 16.00hrs (Rm A1.01)

All lectures and example classes will take place in Rm A1.01, unless otherwise stated.