Wiener integral for the coordinate process under the $σ$-finite measure unifying Brownian penalisations - Mathematics > Probability

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Abstract: Wiener integral for the coordinate process is defined under the $\sigma$-finite measure unifying Brownian penalisations, which has been introduced byNajnudel, Roynette and Yor. Its decomposition before and after last exit timefrom 0 is studied. This study prepares for the author-s recent study ofCameron-Martin formula for the $\sigma$-finite measure.

Author: Kouji Yano

Source: https://arxiv.org/