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arXiv · 0909.5130

Wiener integral for the coordinate process under the $ σ$-finite measure unifying Brownian penalisations

Kouji Yano
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Abstract

Wiener integral for the coordinate process is defined under the $ σ$-finite measure unifying Brownian penalisations, which has been introduced by Najnudel, Roynette and Yor. Its decomposition before and after last exit time from 0 is studied. This study prepares for the author's recent study of Cameron--Martin formula for the $ σ$-finite measure.

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Kouji Yano. 2010-03-31. Wiener integral for the coordinate process under the $ σ$-finite measure unifying Brownian penalisations. https://arxiv.org/abs/0909.5130

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