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...
Main Authors: | , |
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Format: | eBook |
Language: | English |
Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2009, 2009
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Edition: | 1st ed. 2009 |
Series: | Lecture Notes in Mathematics
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Subjects: | |
Online Access: | |
Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
Summary: | 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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Physical Description: | XIII, 275 p online resource |
ISBN: | 9783540896999 |