Penalising Brownian Paths

von Bernard Roynette, Marc Yor

275 Seiten, Taschenbuch

Kurzbeschreibung des Verlags

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.

• Reihe: Lecture Notes in Mathematics
• ISBN: 9783540896982
• Sprache: Englisch
• Erscheinungsdatum: 25.03.2009
• Genre: Mathematik/Wahrscheinlichkeitstheorie, Stochastik, Mathematische Statistik
• Verlag: Springer Berlin