Penalising Brownian Paths [[electronic resource] /] / by Bernard Roynette, Marc Yor

• Autore: Roynette Bernard
• Pubblicazione: Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2009
• Edizione: 1st ed. 2009.
• Descrizione fisica: 1 online resource (XIII, 275 p.)
• Disciplina: 530.475
• Soggetto topico: Probabilities; Probability Theory and Stochastic Processes
• Soggetto non controllato: 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
• Persona (resp. second.): 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.: 996466477003316
• Lo trovi qui: Univ. di Salerno
• Serie: Lecture Notes in Mathematics, . 0075-8434 ; ; 1969