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.
Imprint | Springer-Verlag |
Country of origin | Germany |
Series | Lecture Notes in Mathematics, 1969 |
Release date | March 2009 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2009 |
Authors | Bernard Roynette, Marc Yor |
Dimensions | 235 x 155 x 15mm (L x W x T) |
Format | Paperback |
Pages | 275 |
Edition | 2009 ed. |
ISBN-13 | 978-3-540-89698-2 |
Barcode | 9783540896982 |
Categories | |
LSN | 3-540-89698-8 |