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Wiener integral for the coordinate process under the $ σ$-finite measure unifying Brownian penalisations

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.

preprint2010arXivOpen access
Kouji Yano
math.PR
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Kouji Yano

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