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Some penalisations of the Wiener measure

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Japanese Journal of Mathematics Aims and scope

Abstract.

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.

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Authors and Affiliations

  1. Institut Elie Cartan, Université Henri Poincaré, BP239, F-54506, Vandoeuvre-les-Nancy Cedex, France

    B. Roynette & P. Vallois

  2. Laboratoire de Probabilités et Modèles, Aléatoires, Universités Paris VI et VII, Institut Universitaire de France, 4 Place Jussieu-Case 188, F-75252, Paris Cedex 05, France

    M. Yor

Authors
  1. B. Roynette
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  2. P. Vallois
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  3. M. Yor
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Correspondence to M. Yor.

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Communicated by: Toshiyuki Kobayashi

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Roynette, B., Vallois, P. & Yor, M. Some penalisations of the Wiener measure. Jpn. J. Math. 1, 263–290 (2006). https://doi.org/10.1007/s11537-006-0507-0

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  • DOI: https://doi.org/10.1007/s11537-006-0507-0

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