Penalising Brownian Paths (Lecture Notes in Mathematics, #1969)

by Bernard Roynette and Marc Yor

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Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process whose properties differ somewhat from those of the original one. We are presenting a number of examples of such penalisations in the Brownian and Bessel processes framework. The Martingale theory plays a crucial role. A general principle for penalisation emerges from these examples. In particular, it is shown in the Brownian framework that a positive sigma-finite measure takes a large class of penalisations into account.

  • ISBN13 9783540896982
  • Publish Date 25 March 2009
  • Publish Status Active
  • Publish Country DE
  • Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
  • Imprint Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • Edition 2009 ed.
  • Format Paperback
  • Pages 275
  • Language English