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Table of contents (5 chapters)
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Front Matter
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Back Matter
Keywords
About this book
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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Authors and Affiliations
Bibliographic Information
Book Title: Penalising Brownian Paths
Authors: Bernard Roynette, Marc Yor
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/978-3-540-89699-9
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2009
Softcover ISBN: 978-3-540-89698-2Published: 25 March 2009
eBook ISBN: 978-3-540-89699-9Published: 31 July 2009
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: XIII, 275