Wiener integral for the coordinate process under the σ-finite measure unifying brownian penalisations
ESAIM: Probability and Statistics (2011)
- Volume: 15, page S69-S84
- ISSN: 1292-8100
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topYano, Kouji. "Wiener integral for the coordinate process under the σ-finite measure unifying brownian penalisations." ESAIM: Probability and Statistics 15 (2011): S69-S84. <http://eudml.org/doc/277139>.
@article{Yano2011,
abstract = {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.},
author = {Yano, Kouji},
journal = {ESAIM: Probability and Statistics},
keywords = {stochastic integral; brownian motion; Bessel process; penalisation},
language = {eng},
pages = {S69-S84},
publisher = {EDP-Sciences},
title = {Wiener integral for the coordinate process under the σ-finite measure unifying brownian penalisations},
url = {http://eudml.org/doc/277139},
volume = {15},
year = {2011},
}
TY - JOUR
AU - Yano, Kouji
TI - Wiener integral for the coordinate process under the σ-finite measure unifying brownian penalisations
JO - ESAIM: Probability and Statistics
PY - 2011
PB - EDP-Sciences
VL - 15
SP - S69
EP - S84
AB - 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.
LA - eng
KW - stochastic integral; brownian motion; Bessel process; penalisation
UR - http://eudml.org/doc/277139
ER -
References
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- [8] J. Najnudel, B. Roynette and M. Yor, A remarkable σ-finite measure on (, ) related to many Brownian penalisations. C. R. Math. Acad. Sci. Paris345 (2007) 459–466. Zbl1221.60003MR2367926
- [9] J. Najnudel, B. Roynette and M. Yor, A global view of Brownian penalisations. MSJ Memoirs 19, Mathematical Society of Japan, Tokyo (2009). Zbl1180.60004MR2528440
- [10] B. Roynette and M. Yor, Penalising Brownian paths. Lecture Notes in Math. 1969, Springer, Berlin (2009). Zbl1190.60002MR2504013
- [11] B. Roynette, P. Vallois and M. Yor, Some penalisations of the Wiener measure. Jpn J. Math.1 (2006) 263–290. Zbl1160.60315MR2261065
- [12] K. Yano, Cameron-Martin formula for the σ-finite measure unifying Brownian penalisations. J. Funct. Anal.258 (2010) 3492–3516. Zbl1194.60049MR2601626
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