Bernard Roynette,
Marc Yor
Penalising Brownian Paths
Paperback Engels 2009 2009e druk 9783540896982Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
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.
Specificaties
ISBN13:9783540896982
Taal:Engels
Bindwijze:paperback
Aantal pagina's:275
Uitgever:Springer Berlin Heidelberg
Druk:2009
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Inhoudsopgave
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.
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