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Penalising Brownian Paths: 1969 2009th Edition
Author(s): Bernard Roynette (Author), Marc Yor (Author)
- Publisher: Springer
- Publication Date: 25 Mar. 2009
- Edition: 2009th
- Language: English
- Print length: 288 pages
- ISBN-10: 9783540896982
- ISBN-13: 9783540896982
Book Description
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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From the Back Cover
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.
