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: | , |
|---|---|
| Format: | eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2009, 2009
|
| Edition: | 1st ed. 2009 |
| Series: | Lecture Notes in Mathematics
|
| 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 |
|---|---|
| Physical Description: | XIII, 275 p online resource |
| ISBN: | 9783540896999 |