Japanese Journal of Mathematics

, Volume 1, Issue 1, pp 263–290

Some penalisations of the Wiener measure


DOI: 10.1007/s11537-006-0507-0

Cite this article as:
Roynette, B., Vallois, P. & Yor, M. Jpn. J. Math. (2006) 1: 263. doi:10.1007/s11537-006-0507-0


A number of limit laws, which are obtained from various penalisations of the Wiener measure on \(C \left(\mathbb{R}_{+}, \mathbb{R}^{d}\right),\) are shown to exist, and are described thoroughly, with the help of path decompositions.

Keywords and phrases.

Brownian motionWiener measure3-dimensional Bessel processpath decompositionssupremum processLévy and Pitman theoremsage process of excursionsBrownian windings

Mathematics Subject Classification (2000).


Copyright information

© The Mathematical Society of Japan and Springer-Verlag 2006

Authors and Affiliations

  1. 1.Institut Elie CartanUniversité Henri PoincaréVandoeuvre-les-Nancy CedexFrance
  2. 2.Laboratoire de Probabilités et Modèles, AléatoiresUniversités Paris VI et VII, Institut Universitaire de FranceParis Cedex 05France