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Penalising Brownian Paths
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 theor...
| Clasificación: | Libro Electrónico |
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| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2009.
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| Edición: | 1st ed. 2009. |
| Colección: | Lecture Notes in Mathematics,
1969 |
| Temas: | |
| Acceso en línea: | Texto Completo |
| Sumario: | 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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| Descripción Física: | XIII, 275 p. online resource. |
| ISBN: | 9783540896999 |
| ISSN: | 1617-9692 ; |