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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...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Roynette, Bernard (Autor), Yor, Marc (Autor)
Autor Corporativo: SpringerLink (Online service)
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
Tabla de Contenidos:
  • 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.