Roynette / Yor Penalising Brownian Paths

Erscheinungsjahr 2009
ISBN: 978-3-540-89699-9
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 1969, 275 Seiten, eBook

Reihe: Lecture Notes in Mathematics

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.

Zielgruppe

Research

Autoren/Hrsg.

Roynette, Bernard

Yor, Marc

Inhaltsverzeichnis

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.