Cameron–Martin formula for the σ-finite measure unifying Brownian penalisations
نویسنده
چکیده
Quasi-invariance under translation is established for the σ-finite measure unifying Brownian penalisations, which has been introduced by Najnudel, Roynette and Yor ([10]). For this purpose, the theory of Wiener integrals for centered Bessel processes, due to Funaki, Hariya and Yor ([5]), plays a key role.
منابع مشابه
Wiener integral for the coordinate process under the σ-finite measure unifying Brownian penalisations
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 ([8] and [9]). Its decomposition before and after last exit time from 0 is studied. This study prepares for the author’s recent study [12] of Cameron–Martin formula for the σ-finite measure.
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تاریخ انتشار 2009