Cameron-Martin formula for the -finite measure unifying Brownian penalisations

DOI10.1016/J.JFA.2009.11.021zbMATH Open1194.60049arXiv0909.5132OpenAlexW2018491263WikidataQ58331055 ScholiaQ58331055MaRDI QIDQ971820FDOQ971820

Authors: Kouji Yano 

Publication date: 17 May 2010

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Abstract: Quasi-invariance under translation is established for the $sigma$-finite measure unifying Brownian penalisations, which has been introduced by Najnudel, Roynette and Yor. For this purpose, the theory of Wiener integrals for centered Bessel processes, due to Funaki, Hariya and Yor, plays a key role.

Full work available at URL: https://arxiv.org/abs/0909.5132

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zbMATH Keywords

quasi-invarianceWiener integralCameron-Martin formulapenalisation

Mathematics Subject Classification ID

Brownian motion (60J65) Stochastic integrals (60H05) Probabilistic potential theory (60J45)

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

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