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...
| Main Authors: | , |
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| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2009.
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| Series: | Lecture Notes in Mathematics,
1969 |
| Subjects: | |
| Online Access: | Full Text via HEAL-Link |
| Summary: | 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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| Physical Description: | XIII, 275 p. online resource. |
| ISBN: | 9783540896999 |
| ISSN: | 0075-8434 ; |
