A global view of Brownian penalisations

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dc.creatorNajnudel, Joseph
dc.creatorRoynette, Bernard
dc.creatorYor, Marc
dc.date2009-05-13
dc.date.accessioned2026-07-07T13:14:55Z
dc.date.available2026-07-07T13:14:55Z
dc.descriptionIn this monograph, we construct and study a sigma-finite measure on continuous functions from R_+ to R, strongly related to many probability measures obtained by penalisation of Brownian motion, i.e. as limits of probabilities which are absolutely continuous with respect to Wiener measure. This remarkable sigma-finite measure can be generalized in three other cases: one can start from a two-dimensional Brownian motion, from a recurrent diffusion with values in R_+, and from a discrete, recurrent Markov chain.
dc.identifierhttps://arxiv.org/abs/0905.2220
dc.identifierhttp://arxiv.org/abs/0905.2220
dc.identifierMSJ Memoirs, Mathematical Society of Japan, Volume 19, 2009
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/230332
dc.subjectProbability
dc.subject60G17; 60G40; 60G44; 60H10; 60J25; 60J60; 60J65
dc.titleA global view of Brownian penalisations
dc.typetext

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