Lecture Notes in Mathematics
cover

Penalising Brownian Paths

Authors: Roynette, Bernard, Yor, Marc

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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.

Reviews

From the reviews: “In this book the authors give a systematic study of penalisation. The book is divided into 5 chapters. … This book is very useful for graduate students and researchers interested in learning penalisations.” (Ren Ming Song, Mathematical Reviews, Issue 2010 e)

Table of contents (5 chapters)

Table of contents (5 chapters)
  • Introduction

    Pages 1-34

    Roynette, Bernard (et al.)

  • Some penalisations of theWiener measure

    Pages 1-31

    Roynette, Bernard (et al.)

  • Feynman-Kac penalisations for Brownian motion

    Pages 1-64

    Roynette, Bernard (et al.)

  • Penalisations of a Bessel process with dimension d(0 d 2) by a function of the ranked lengths of its excursions

    Pages 1-93

    Roynette, Bernard (et al.)

  • A general principle and some questions about penalisations

    Pages 1-36

    Roynette, Bernard (et al.)

Buy this book

eBook $54.99
price for USA in USD
  • ISBN 978-3-540-89699-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $69.99
price for USA in USD
  • ISBN 978-3-540-89698-2
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Penalising Brownian Paths
Authors
Series Title
Lecture Notes in Mathematics
Series Volume
1969
Copyright
2009
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-89699-9
DOI
10.1007/978-3-540-89699-9
Softcover ISBN
978-3-540-89698-2
Series ISSN
0075-8434
Edition Number
1
Number of Pages
XIII, 275
Topics