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Some penalisations of the Wiener measure |
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| Authors: | B. Roynette P. Vallois M. Yor |
| Affiliation: | (1) Institut Elie Cartan, Université Henri Poincaré, BP239, F-54506 Vandoeuvre-les-Nancy Cedex, France;(2) Laboratoire de Probabilités et Modèles, Aléatoires, Universités Paris VI et VII, Institut Universitaire de France, 4 Place Jussieu-Case 188, F-75252 Paris Cedex 05, France |
| Abstract: | A number of limit laws, which are obtained from various penalisations of the Wiener measure on  are shown to exist, and are described thoroughly, with the help of path decompositions. |
| Keywords: | Brownian motion Wiener measure 3-dimensional Bessel process path decompositions supremum process Lévy and Pitman theorems age process of excursions Brownian windings |
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