E-Book, Englisch, Band 1969, 275 Seiten, eBook
Reihe: Lecture Notes in Mathematics
Roynette / Yor Penalising Brownian Paths
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
ISBN: 978-3-540-89699-9
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
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Weitere Infos & Material
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.
