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Introduction

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Penalising Brownian Paths

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 1969))

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Abstract

As an Introduction to this monograph, we present, in a Brownian and Bessel framework, the general problem of penalisation which will be discussed throughout this volume.We sketch a number of examples, the study of which constitutes the different Chapters of the monograph. Finally, we make a list of the martingales which occur as Radon-Nikodym densities between the Wiener measure and the penalised limiting measures.

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Author information

Authors and Affiliations

  1. Université Nancy I Institut Elie Cartan, Faculté des Sciences Departement Mathésmatiques , B.P. 239 54506 Vandoeuvre-les-Nancy, CX, France

    Bernard Roynette

  2. Université Paris VI Laboratoire de Probabilités, 175 rue de Chevaleret, 75013, Paris, France

    Marc Yor

Authors
  1. Bernard Roynette
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  2. Marc Yor
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Correspondence to Bernard Roynette .

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Roynette, B., Yor, M. (2009). Introduction. In: Penalising Brownian Paths. Lecture Notes in Mathematics(), vol 1969. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-540-89699-9_1

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