| Issue |
ESAIM: PS
Volume 15, 2011
Supplement: In honor of Marc Yor
|
|
|---|---|---|
| Page(s) | S69 - S84 | |
| DOI | https://doi.org/10.1051/ps/2010024 | |
| Published online | 19 May 2011 | |
Wiener integral for the coordinate process under the σ-finite measure unifying Brownian penalisations
Department of Mathematics, Graduate School of Science, Kobe University, Kobe, Japan
kyano@math.kobe-u.ac.jp
Received:
29
September
2009
Wiener integral for the coordinate process is defined under the σ-finite measure unifying Brownian penalisations, which has been introduced by [Najnudel et al., C. R. Math. Acad. Sci. Paris 345 (2007) 459–466] and [Najnudel et al., MSJ Memoirs 19. Mathematical Society of Japan, Tokyo (2009)]. Its decomposition before and after last exit time from 0 is studied. This study prepares for the author's recent study [K. Yano, J. Funct. Anal. 258 (2010) 3492–3516] of Cameron-Martin formula for the σ-finite measure.
Mathematics Subject Classification: 60H05 / 60J65 / 46G12
Key words: Stochastic integral / Brownian motion / Bessel process / penalisation
© EDP Sciences, SMAI, 2011
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