02859nam 2200733Ia 450 991048375360332120200520144314.03-540-89699-610.1007/978-3-540-89699-9(CKB)1000000000761202(SSID)ssj0000319387(PQKBManifestationID)11250100(PQKBTitleCode)TC0000319387(PQKBWorkID)10337991(PQKB)11465853(DE-He213)978-3-540-89699-9(MiAaPQ)EBC3064412(PPN)139950249(EXLCZ)99100000000076120220090213d2009 uy 0engurnn|008mamaatxtccrPenalising Brownian paths /Bernard Roynette, Marc Yor1st ed. 2009.Berlin Springerc20091 online resource (XIII, 275 p.) Lecture notes in mathematics,0075-8434 ;1969Bibliographic Level Mode of Issuance: Monograph3-540-89698-8 Includes bibliographical references.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.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.Lecture notes in mathematics (Springer-Verlag) ;1969.Brownian motion processesMartingales (Mathematics)Brownian motion processes.Martingales (Mathematics)530.475MAT 604fstubMAT 605fstubMAT 607fstubSI 850rvk*60-02msc17,1ssgn31.70bcl60-06msc60F99msc60G30msc60G44msc60J25msc60J55msc60J65mscRoynette Bernard41731Yor Marc54488MiAaPQMiAaPQMiAaPQBOOK9910483753603321Penalising Brownian Paths774129UNINA