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02374nam a22004815i 4500 |
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978-3-540-89699-9 |
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100301s2009 gw | s |||| 0|eng d |
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|a 9783540896999
|9 978-3-540-89699-9
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|a 10.1007/978-3-540-89699-9
|2 doi
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|a QA273.A1-274.9
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|a QA274-274.9
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|a MAT029000
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|a 519.2
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|a Roynette, Bernard.
|e author.
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|a Penalising Brownian Paths
|h [electronic resource] /
|c by Bernard Roynette, Marc Yor.
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|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg,
|c 2009.
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|a XIII, 275 p.
|b online resource.
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|a text
|b txt
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|b PDF
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|a Lecture Notes in Mathematics,
|x 0075-8434 ;
|v 1969
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|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.
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|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.
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|a Mathematics.
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|a Probabilities.
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|a Mathematics.
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|a Probability Theory and Stochastic Processes.
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|a Yor, Marc.
|e author.
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|a SpringerLink (Online service)
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|t Springer eBooks
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|i Printed edition:
|z 9783540896982
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|a Lecture Notes in Mathematics,
|x 0075-8434 ;
|v 1969
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|u http://dx.doi.org/10.1007/978-3-540-89699-9
|z Full Text via HEAL-Link
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|a ZDB-2-SMA
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|a ZDB-2-LNM
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|a Mathematics and Statistics (Springer-11649)
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