Penalising Brownian Paths - Bernard Roynette

Penalising Brownian Paths
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Autor: Bernard Roynette

 Wydawnictwo: Springer Verlag
ISBN: 9783540896982
EAN:
Format: ...
Oprawa: miekka
Stron: 288
Data wydania: 2009-07-01
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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.

"In this book the authors give a systematic study of penalisation. The book is divided into 5 chapters. (...) This book is very useful for graduate students and researchers interested in learning penalisations." Ren Ming Song, "Mathematical Reviews", Issue 2010

Książka "Penalising Brownian Paths"
Bernard Roynette