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Penalising Brownian Paths / by Bernard Roynette, Marc Yor

Contributor(s): Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: SpringerLink Bücher | Lecture notes in mathematics ; 1969Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009Description: Online-Ressource (digital)ISBN:
  • 9783540896999
Subject(s): Additional physical formats: 9783540896982 | Buchausg. u.d.T.: Penalising Brownian paths. Berlin : Springer, 2009. XII, 275 S.DDC classification:
  • 519.2 23
  • 519.233
MSC: MSC: *60-02 | 60J65 | 60J25 | 60J55 | 60F99 | 60G44 | 60G30RVK: RVK: SI 850LOC classification:
  • QA273.A1-274.9
  • QA274-274.9
  • QA274.75
DOI: DOI: 10.1007/978-3-540-89699-9Online resources: Summary: 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 penalisationsSummary: 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 accountPPN: PPN: 1648368468Package identifier: Produktsigel: ZDB-2-SEB | ZDB-2-SXMS | ZDB-2-LNM | ZDB-2-SMA
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