Limiting laws associated with Brownian motion perturbated by normalized exponential weights I
Loading...
Date
Journal Title
Journal ISSN
Volume Title
Publisher
Abstract
Description
We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to Brownian motion up to time t. This permits to prove that the Wiener measure, penalized by this multiplicative functional, converges as t goes to infinity to a probability measure (p.m.) . We obtain the law of the canonical process under this new p.m.