Penalising Brownian Paths / Lecture Notes in Mathematics Bd.1969 (PDF)
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...
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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.
- Autoren: Bernard Roynette , Marc Yor
- 2009, 2009, 275 Seiten, Englisch
- Verlag: Springer-Verlag GmbH
- ISBN-10: 3540896996
- ISBN-13: 9783540896999
- Erscheinungsdatum: 31.07.2009
Abhängig von Bildschirmgröße und eingestellter Schriftgröße kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: PDF
- Größe: 2.78 MB
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- Vorlesefunktion
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