Penalising Brownian Paths
Springer Berlin (Verlag)
978-3-540-89698-2 (ISBN)
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.
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.
From the reviews: "In this book the authors give a systematic study of penalisation. The book is divided into 5 chapters. ... This book is very useful for graduate students and researchers interested in learning penalisations." (Ren Ming Song, Mathematical Reviews, Issue 2010 e)
From the reviews:
“In this book the authors give a systematic study of penalisation. The book is divided into 5 chapters. … This book is very useful for graduate students and researchers interested in learning penalisations.” (Ren Ming Song, Mathematical Reviews, Issue 2010 e)
| Erscheint lt. Verlag | 25.3.2009 |
|---|---|
| Reihe/Serie | Lecture Notes in Mathematics |
| Zusatzinfo | XIII, 275 p. |
| Verlagsort | Berlin |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 450 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
| Schlagworte | Bessel process • Brownian motion • Martingale • Martingales • Penalisations • Probability Theory |
| ISBN-10 | 3-540-89698-8 / 3540896988 |
| ISBN-13 | 978-3-540-89698-2 / 9783540896982 |
| Zustand | Neuware |
| Informationen gemäß Produktsicherheitsverordnung (GPSR) | |
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