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

DOI10.1016/j.crma.2007.09.015zbMath1221.60003OpenAlexW2016509092MaRDI QIDQ2462303

Bernard Roynette, Marc Yor, Joseph Najnudel

Publication date: 30 November 2007

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2007.09.015

zbMATH Keywords

Wiener measureBrownian martingalesBrownian penalisation process

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Convergence of probability measures (60B10)

Related Items (4)

Penalising symmetric stable Lévy paths ⋮ A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations ⋮ Cameron-Martin formula for the \(\sigma \)-finite measure unifying Brownian penalisations ⋮ Ten penalisation results of Brownian motion involving its one-sided supremum until first and last passage times. VIII

Cites Work

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• Some penalisations of the Wiener measure
• Limiting laws associated with Brownian motion perturbated by normalized exponential weights
• A remarkable \(\sigma \)-finite measure on \(\mathcal C(\mathbb{R}_+,\mathbb{R})\) related to many Brownian penalisations
• Limiting laws for long Brownian bridges perturbed by their one-sided maximum. III
• Limiting laws associated with Brownian motion perturbed by its maximum, minimum and local time, II

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