LIMITING LAWS ASSOCIATED WITH BROWNIAN MOTION PERTURBED BY NORMALIZED EXPONENTIAL WEIGHTS, I
LIMITING LAWS ASSOCIATED WITH BROWNIAN MOTION PERTURBED BY NORMALIZED EXPONENTIAL WEIGHTS, I
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DOI：
10.1556/sscmath.43.2006.2.3
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发表时间：
2005-10
影响因子：
0.7
通讯作者：
B. Roynette;P. Vallois;M. Yor
中科院分区：
文献类型：
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作者：
B. Roynette;P. Vallois;M. Yor
我们确定与布朗运动相关的某些乘法函数在时间 t 之前的期望 Z(t) 的衰减率。这可以证明，当 t 趋于无穷大时，受到该乘法函数惩罚的维纳测度会收敛到概率测度 (p.m.)。我们在这个新下午获得了规范过程的法则。
We determine the rate of decay of the expectation Z(t) of some multiplicative functional related to Brownian motion up to time t. This permits to prove that the Wiener measure, penalized by this multiplicative functional, converges as t goes to infinity to a probability measure (p.m.) . We obtain the law of the canonical process under this new p.m.