On penalisation results related with a remarkable class of submartingales

Abstract

Is this paper we study penalisations of diffusions satisfying some technical conditions, generalizing a result obtained by Najnudel, Roynette and Yor. If one of these diffusions has probability distribution $\mathbb{P}$, then our result can be described as follows: for a large class of families of probability measures $(\mathbb{Q}_t)_{t \geq 0}$, each of them being absolutely continuous with respect to $\mathbb{P}$, there exists a probability $\mathbb{Q}_{\infty}$ such that for all events $Λ$ depending only on the canonical trajectory up to a fixed time, $\mathbb{Q}_t (Λ)$ tends to $\mathbb{Q}_{\infty} (Λ)$ when $t$ goes to infinity. In the cases we study here, the limit measure $\mathbb{Q}_{\infty}$ is absolutely continous with respect to a sigma-finite measure $\mathcal{Q}$, which does not depend on the choice of the family of probabilities $(\mathbb{Q}_t)_{t \geq 0}$, but only on $\mathbb{P}$. The relation between $\mathbb{P}$ and $\mathcal{Q}$ is obtained in a very general framework by the authors of this paper.