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Download or read book Scaled Penalization of Brownian Motion with Drift and the Brownian Ascent written by Hugo Panzo and published by . This book was released on 2018 with total page 66 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study a scaled version of a two-parameter Brownian penalization model introduced by Roynette-Vallois-Yor. The original model penalizes Brownian motion with drift h by a weight process involving the running maximum of the Brownian motion and a parameter volume It was shown there that the resulting penalized process exhibits three distinct phases corresponding to different regions of the (v,h)-plane. In this paper, we investigate the effect of penalizing the Brownian motion concurrently with scaling and identify the limit process. This extends a result of Roynette-Yor to the whole parameter plane and reveals two additional critical phases occurring at the boundaries between the parameter regions. One of these novel phases is Brownian motion conditioned to end at its maximum, a process we call the Brownian ascent. We then relate the Brownian ascent to some well-known Brownian path fragments and to a random scaling transformation of Brownian motion recently studied by Rosenbaum-Yor.