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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 |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2009.
|
| Edición: | 1st ed. 2009. |
| Colección: | Lecture Notes in Mathematics,
1969 |
| Temas: | |
| Acceso en línea: | Texto Completo |
MARC
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| 100 | 1 | |a Roynette, Bernard. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Penalising Brownian Paths |h [electronic resource] / |c by Bernard Roynette, Marc Yor. |
| 250 | |a 1st ed. 2009. | ||
| 264 | 1 | |a Berlin, Heidelberg : |b Springer Berlin Heidelberg : |b Imprint: Springer, |c 2009. | |
| 300 | |a XIII, 275 p. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
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| 490 | 1 | |a Lecture Notes in Mathematics, |x 1617-9692 ; |v 1969 | |
| 505 | 0 | |a Some penalisations of theWiener measure -- Feynman-Kac penalisations for Brownian motion -- Penalisations of a Bessel process with dimension d(0 d 2) by a function of the ranked lengths of its excursions -- A general principle and some questions about penalisations. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Probabilities. | |
| 650 | 1 | 4 | |a Probability Theory. |
| 700 | 1 | |a Yor, Marc. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783540897316 |
| 776 | 0 | 8 | |i Printed edition: |z 9783540896982 |
| 830 | 0 | |a Lecture Notes in Mathematics, |x 1617-9692 ; |v 1969 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-540-89699-9 |z Texto Completo |
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| 950 | |a Mathematics and Statistics (SpringerNature-11649) | ||
| 950 | |a Mathematics and Statistics (R0) (SpringerNature-43713) | ||