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Penalising Brownian paths / / Bernard Roynette, Marc Yor



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Autore: Roynette Bernard Visualizza persona
Titolo: Penalising Brownian paths / / Bernard Roynette, Marc Yor Visualizza cluster
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  Visualizza cluster
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
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Serie: Lecture notes in mathematics (Springer-Verlag) ; ; 1969.