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Wiener integral for the coordinate process under the σ-finite measure unifying brownian penalisations

Kouji Yano — 2011

ESAIM: Probability and Statistics

Wiener integral for the coordinate process is defined under the -finite measure unifying Brownian penalisations, which has been introduced by [Najnudel , 345 (2007) 459–466] and [Najnudel , 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, 258 (2010) 3492–3516] of Cameron-Martin formula for the -finite measure.

Wiener integral for the coordinate process under the -finite measure unifying Brownian penalisations

Kouji Yano — 2011

ESAIM: Probability and Statistics

Wiener integral for the coordinate process is defined under the -finite measure unifying Brownian penalisations, which has been introduced by [Najnudel , (2007) 459–466] and [Najnudel , . 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, (2010) 3492–3516] of Cameron-Martin formula for the -finite measure.

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