Geodesic
Wiener integral for the coordinate process under the σ-finite measure unifying brownian penalisations
ESAIM: Probability and Statistics, Tome 15 (2011), pp. S69-S84

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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.

DOI : 10.1051/ps/2010024
Classification : 60H05, 60J65, 46G12
Keywords: stochastic integral, brownian motion, Bessel process, penalisation 
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     author = {Yano, Kouji},
     title = {Wiener integral for the coordinate process under the $\sigma $-finite measure unifying brownian penalisations},
     journal = {ESAIM: Probability and Statistics},
     pages = {S69--S84},
     publisher = {EDP-Sciences},
     volume = {15},
     year = {2011},
     doi = {10.1051/ps/2010024},
     language = {en},
     url = {http://geodesic.mathdoc.fr/articles/10.1051/ps/2010024/}
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Yano, Kouji. Wiener integral for the coordinate process under the $\sigma $-finite measure unifying brownian penalisations. ESAIM: Probability and Statistics, Tome 15 (2011), pp. S69-S84. doi: 10.1051/ps/2010024

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