  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.
