Japan. J. Math. 1, 263--290 (2006)

Some penalisations of the Wiener measure

B. Roynette, P. Vallois and M. Yor

Abstract: A number of limit laws, which are obtained from various penalisations of the Wiener measure on $ C\,(\mathbb{R}_+, \mathbb{R}^d)$, are shown to exist, and are described thoroughly, with the help of path decompositions.