Penalising Brownian Paths / by Bernard Roynette, Marc Yor.

Por:

Roynette, Bernard [autor]

Colaborador(es):

Tipo de material: Texto

TextoSeries Lecture Notes in Mathematics ; 1969Editor: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009Descripción: recurso en líneaTipo de contenido:

texto

Tipo de medio:

computadora

Tipo de portador:

recurso en línea

ISBN:

9783540896999

Formatos físicos adicionales: Edición impresa:: Sin títuloRecursos en línea:

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Contenidos:

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.

Resumen: 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.

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