Penalising Brownian Paths

• Main Authors: Roynette, Bernard (Author), Yor, Marc (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Lecture Notes in Mathematics, 1969
• Subjects: 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...

Table of Contents:

• 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.