Penalising Brownian paths / / Bernard Roynette, Marc Yor
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| Autore: |
Roynette Bernard
|
| Titolo: |
Penalising Brownian paths / / Bernard Roynette, Marc Yor
|
| Pubblicazione: | Berlin, : Springer, c2009 |
| Edizione: | 1st ed. 2009. |
| Descrizione fisica: | 1 online resource (XIII, 275 p.) |
| Disciplina: | 530.475 |
| Soggetto topico: | Brownian motion processes |
| Martingales (Mathematics) | |
| Classificazione: | MAT 604f |
| MAT 605f | |
| MAT 607f | |
| SI 850 | |
| *60-02 | |
| 17,1 | |
| 31.70 | |
| 60-06 | |
| 60F99 | |
| 60G30 | |
| 60G44 | |
| 60J25 | |
| 60J55 | |
| 60J65 | |
| Altri autori: |
YorMarc
|
| Note generali: | Bibliographic Level Mode of Issuance: Monograph |
| Nota di bibliografia: | Includes bibliographical references. |
| Nota di contenuto: | 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. |
| Sommario/riassunto: | 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. |
| Titolo autorizzato: | Penalising Brownian Paths |
| ISBN: | 3-540-89699-6 |
| Formato: | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione: | Inglese |
| Record Nr.: | 9910483753603321 |
| Lo trovi qui: | Univ. Federico II |
| Opac: | Controlla la disponibilità qui |
Serie:
Lecture notes in mathematics (Springer-Verlag) ; ; 1969.