# On penalisation results related with a remarkable class of submartingales

## TL;DR

This paper extends penalization results for certain diffusions, showing convergence of probability measures and identifying a universal sigma-finite measure related to the original diffusion measure.

## Contribution

It generalizes previous results by establishing convergence of penalized diffusions to a limit measure absolutely continuous with respect to a universal sigma-finite measure.

## Key findings

- Convergence of penalized measures to a limit measure
- Existence of a universal sigma-finite measure
- General framework for measure relations

## Abstract

Is this paper we study penalisations of diffusions satisfying some technical conditions, generalizing a result obtained by Najnudel, Roynette and Yor. If one of these diffusions has probability distribution $\mathbb{P}$, then our result can be described as follows: for a large class of families of probability measures $(\mathbb{Q}_t)_{t \geq 0}$, each of them being absolutely continuous with respect to $\mathbb{P}$, there exists a probability $\mathbb{Q}_{\infty}$ such that for all events $\Lambda$ depending only on the canonical trajectory up to a fixed time, $\mathbb{Q}_t (\Lambda)$ tends to $\mathbb{Q}_{\infty} (\Lambda)$ when $t$ goes to infinity. In the cases we study here, the limit measure $\mathbb{Q}_{\infty}$ is absolutely continous with respect to a sigma-finite measure $\mathcal{Q}$, which does not depend on the choice of the family of probabilities $(\mathbb{Q}_t)_{t \geq 0}$, but only on $\mathbb{P}$. The relation between $\mathbb{P}$ and $\mathcal{Q}$ is obtained in a very general framework by the authors of this paper.