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Comptes Rendus Mathématique
Volume 345, n° 8
pages 459-466 (octobre 2007)
Doi : 10.1016/j.crma.2007.09.015
Received : 20 July 2007 ;  accepted : 7 September 2007
A remarkable -finite measure on   related to many Brownian penalisations
Une mesure -finie sur   liée à de nombreuses pénalisations browniennes
 

Joseph Najnudel a, 1 , Bernard Roynette b, Marc Yor a, c
a Laboratoire de probabilités et modèles aléatoires, Université Paris VI, 4, place Jussieu, 75252 Paris cedex 05, France 
b Institut de mathématiques Elie-Cartan, Université Henri-Poincaré Nancy I, B.P. 239, 54506 Vandoeuvre-lès-Nancy cedex, France 
c Institut universitaire de France, 103, boulevard Saint-Michel, 75005 Paris, France 

Abstract

In this Note, we study a -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. To cite this article: J. Najnudel et al., C. R. Acad. Sci. Paris, Ser. I 345 (2007).

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Résumé

Dans cette Note, nous étudions une mesure -finie   sur lʼespace  , 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 lʼétude des pénalisations browniennes faite par B. Roynette, P. Vallois et M. Yor. Pour citer cet article : J. Najnudel et al., C. R. Acad. Sci. Paris, Ser. I 345 (2007).

The full text of this article is available in PDF format.
1  Present address: Mathematics Department, ETH Zurich, HG G 10.1, CH-8092 Zurich, Switzerland.


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