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

DOI10.1016/J.JFA.2009.11.021MaRDI QIDQ971820zbMATHOpenAlexWikidataFDO

Authors Kouji Yano

Publication date 17 May 2010

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

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

zbMATH Keywords

quasi-invarianceWiener integralCameron-Martin formulapenalisation

Mathematics Subject Classification ID

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

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.

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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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