Penalising Brownian Paths (Lecture Notes in Mathematics, 1969, Band 1969) - Softcover

Roynette, Bernard

Softcover

ISBN 10: 3540896988 ISBN 13: 9783540896982

Verlag: Springer Berlin Heidelberg, 2010

Inhaltsangabe

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.

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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.

Details zur Ausgabe

• Verlag: Springer Berlin Heidelberg
• Erscheinungsdatum: 2010
• Sprache: Englisch
• ISBN 10: 3540896988
• ISBN 13: 9783540896982
• Einband: Taschenbuch
• Anzahl der Seiten: 296
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