| Penalising Brownian Paths 2009 Edition Contributor(s): Roynette, Bernard (Author), Yor, Marc (Author) |
|
 |
ISBN: 3540896988 ISBN-13: 9783540896982 Publisher: Springer OUR PRICE: $52.24 Product Type: Paperback - Other Formats Published: March 2009 Annotation: 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. |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - General |
| Dewey: 519.233 |
| Series: Lecture Notes in Mathematics |
| Physical Information: 0.6" H x 6.1" W x 9.2" (0.95 lbs) 275 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |