Volume 15, 2011
Supplement: In honor of Marc Yor
|Page(s)||S69 - S84|
|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
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
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.