ENGLISH

Penalising Brownian paths

By Marc Yor (auth.) , Bernard Roynette

Book information

Publisher
Springer-Verlag Berlin Heidelberg
Year
2009
ISBN
3540896988, 9783540896982
DOI
10.1007/978-3-540-89699-9
Google Books ID
a8wmmbOJOnAC
Language
english
Format
PDF
Filesize
3 MB (2778672 bytes)
Series
Lecture Notes in Mathematics 1969
Edition
1
Pages
275\290
Library
Kolxo3
Scanned
yes
Time added
2011-07-22 07:35:22
Probability Theory and Stochastic Processes

Description

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.

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