Roynette, B: Penalising Brownian Paths
(Sprache: Englisch)
Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process that differs from the original. This book presents a number of examples of such penalisations in the Brownian and Bessel processes framework.
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Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process that differs from the original. This book presents a number of examples of such penalisations in the Brownian and Bessel processes framework.
Klappentext zu „Roynette, B: 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 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.
Inhaltsverzeichnis zu „Roynette, B: Penalising Brownian Paths “
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.
Bibliographische Angaben
- Autoren: Bernard Roynette , Marc Yor
- XIII, 275 Seiten, Maße: 15,5 x 23,5 cm, Kartoniert (TB), Englisch
- Verlag: Springer Berlin
- ISBN-10: 3540896988
- ISBN-13: 9783540896982
- Erscheinungsdatum: 25.03.2009
Sprache:
Englisch
Rezension zu „Roynette, B: Penalising Brownian Paths “
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)
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