Penalising Brownian Paths (Lecture Notes in Mathematics, 1969, Band 1969) - Softcover

Roynette, Bernard

 
9783540896982: Penalising Brownian Paths (Lecture Notes in Mathematics, 1969, Band 1969)
Softcover
ISBN 10: 3540896988 ISBN 13: 9783540896982
Verlag: Springer Berlin Heidelberg, 2010

Inhaltsangabe

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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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.

„Über diesen Titel“ kann sich auf eine andere Ausgabe dieses Titels beziehen.

Verlag
Springer Berlin Heidelberg
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3540896988
ISBN 13 
9783540896982
Einband
Taschenbuch
Anzahl der Seiten
296
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Softcover