Penalising Brownian Paths
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 theor...
| Main Authors: | , |
|---|---|
| Corporate Author: | |
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
2009.
|
| Series: | Lecture Notes in Mathematics,
1969 |
| Subjects: | |
| Online Access: | Full Text via HEAL-Link |
Table of Contents:
- 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.
