Penalising Brownian Paths

• 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: Mathematics.; Probabilities.; Probability Theory and Stochastic Processes.

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...

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.