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...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής
Κύριοι συγγραφείς: Roynette, Bernard (Συγγραφέας), Yor, Marc (Συγγραφέας)
Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
Γλώσσα:English
Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
Σειρά:Lecture Notes in Mathematics, 1969
Θέματα:
Διαθέσιμο Online:Full Text via HEAL-Link
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490 1 |a Lecture Notes in Mathematics,  |x 0075-8434 ;  |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 Mathematics. 
650 0 |a Probabilities. 
650 1 4 |a Mathematics. 
650 2 4 |a Probability Theory and Stochastic Processes. 
700 1 |a Yor, Marc.  |e author. 
710 2 |a SpringerLink (Online service) 
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776 0 8 |i Printed edition:  |z 9783540896982 
830 0 |a Lecture Notes in Mathematics,  |x 0075-8434 ;  |v 1969 
856 4 0 |u http://dx.doi.org/10.1007/978-3-540-89699-9  |z Full Text via HEAL-Link 
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