Cameron-Martin formula for the $σ$-finite measure unifying Brownian penalisations - Mathematics > Probability

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Abstract: Quasi-invariance under translation is established for the $\sigma$-finitemeasure unifying Brownian penalisations, which has been introduced by Najnudel,Roynette and Yor. For this purpose, the theory of Wiener integrals for centeredBessel processes, due to Funaki, Hariya and Yor, plays a key role.

Author: Kouji Yano

Source: https://arxiv.org/