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...
Κύριοι συγγραφείς: | , |
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Συγγραφή απο Οργανισμό/Αρχή: | |
Μορφή: | Ηλεκτρονική πηγή Ηλ. βιβλίο |
Γλώσσα: | English |
Έκδοση: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2009.
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Σειρά: | Lecture Notes in Mathematics,
1969 |
Θέματα: | |
Διαθέσιμο Online: | Full Text via HEAL-Link |
Πίνακας περιεχομένων:
- 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.