Wiener integral for the coordinate process under the σ-finite measure unifying Brownian penalisations
Yano, Kouji
Original · EN
Wiener integral for the coordinate process is defined under the σ-finite measure unifying Brownian penalisations, which has been introduced by Najnudel, Roynette and Yor. Its decomposition before and after last exit time from 0 is studied. This study prepares for the author's recent study of Cameron--Martin formula for the σ-finite measure.
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