A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations (Q2462303)

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.