A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations (Q2462303): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations |
scientific article |
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A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations (English)
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30 November 2007
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This paper studies a \(\sigma\)-finite measure \(\mathcal W\) on the space \(\mathcal C(\mathbf R_+, \mathbf R)\), strongly related to Wiener measure. The authors construct a large class of Brownian martingales from \(\mathcal W\). The measure \(\mathcal W\) was constructed in order to explain globally some penalisation results which were proven before by B. Roynette, P. Vallois and M. Yor.
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Wiener measure
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Brownian martingales
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Brownian penalisation process
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