[Une mesure σ-finie sur liée à de nombreuses pénalisations browniennes]
In this Note, we study a σ-finite measure on the space , strongly related to Wiener measure, and we construct a large class of Brownian martingales from . Some of these martingales appear naturally in the study of Brownian penalisations made by B. Roynette, P. Vallois and M. Yor.
Dans cette Note, nous étudions une mesure σ-finie sur l'espace , fortement liée à la mesure de Wiener, et nous construisons une grande classe de martingales browniennes à partir de . Certaines de ces martingales apparaissent naturellement dans l'étude des pénalisations browniennes faite par B. Roynette, P. Vallois et M. Yor.
Accepté le :
Publié le :
Najnudel, Joseph 1 ; Roynette, Bernard 2 ; Yor, Marc 1, 3
@article{CRMATH_2007__345_8_459_0,
author = {Najnudel, Joseph and Roynette, Bernard and Yor, Marc},
title = {A remarkable \protect\emph{\ensuremath{\sigma}}-finite measure on $ \mathcal{C}({\mathbf{R}}_{+},\mathbf{R})$ related to many {Brownian} penalisations},
journal = {Comptes Rendus. Math\'ematique},
pages = {459--466},
year = {2007},
publisher = {Elsevier},
volume = {345},
number = {8},
doi = {10.1016/j.crma.2007.09.015},
language = {en},
url = {https://www.numdam.org/articles/10.1016/j.crma.2007.09.015/}
}
TY - JOUR
AU - Najnudel, Joseph
AU - Roynette, Bernard
AU - Yor, Marc
TI - A remarkable σ-finite measure on $ \mathcal{C}({\mathbf{R}}_{+},\mathbf{R})$ related to many Brownian penalisations
JO - Comptes Rendus. Mathématique
PY - 2007
SP - 459
EP - 466
VL - 345
IS - 8
PB - Elsevier
UR - https://www.numdam.org/articles/10.1016/j.crma.2007.09.015/
DO - 10.1016/j.crma.2007.09.015
LA - en
ID - CRMATH_2007__345_8_459_0
ER -
%0 Journal Article
%A Najnudel, Joseph
%A Roynette, Bernard
%A Yor, Marc
%T A remarkable σ-finite measure on $ \mathcal{C}({\mathbf{R}}_{+},\mathbf{R})$ related to many Brownian penalisations
%J Comptes Rendus. Mathématique
%D 2007
%P 459-466
%V 345
%N 8
%I Elsevier
%U https://www.numdam.org/articles/10.1016/j.crma.2007.09.015/
%R 10.1016/j.crma.2007.09.015
%G en
%F CRMATH_2007__345_8_459_0
Najnudel, Joseph; Roynette, Bernard; Yor, Marc. A remarkable σ-finite measure on $ \mathcal{C}({\mathbf{R}}_{+},\mathbf{R})$ related to many Brownian penalisations. Comptes Rendus. Mathématique, Tome 345 (2007) no. 8, pp. 459-466. doi: 10.1016/j.crma.2007.09.015
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[3] J. Najnudel, B. Roynette, M. Yor, On a remarkable σ-finite measure W on path space, which rules penalisations for a linear Brownian motion, 2007, in preparation
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