A remarkable $σ$-finite measure associated with last passage times and penalisation problems

Abstract

In this paper, we give a global view of the results we have obtained in relation with a remarkable class of submartingales, called $(Σ)$, and its links with a universal sigma-finite measure and penalization problems on the space of continuous and cadlag paths.

This is a contribution for the special volume for the 60th birthday of Eckhard Platen