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  • © 2009

Penalising Brownian Paths

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

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Table of contents (5 chapters)

  1. Front Matter

    Pages 1-11
  2. Introduction

    • Bernard Roynette, Marc Yor
    Pages 1-34
  3. Some penalisations of theWiener measure

    • Bernard Roynette, Marc Yor
    Pages 1-31
  4. Feynman-Kac penalisations for Brownian motion

    • Bernard Roynette, Marc Yor
    Pages 1-64
  5. A general principle and some questions about penalisations

    • Bernard Roynette, Marc Yor
    Pages 1-36
  6. Back Matter

    Pages 1-21

About this book

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.

Keywords

  • Bessel process
  • Brownian motion
  • Martingale
  • Martingales
  • Penalisations
  • Probability theory

Reviews

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)

Authors and Affiliations

  • Inst. Elie Cartan, Université Nancy I, Vandoeuvre-les-Nancy CX, France

    Bernard Roynette

  • Labo. Probabilités , Université Paris VI, Paris, France

    Marc Yor

Bibliographic Information

  • Book Title: Penalising Brownian Paths

  • Authors: Bernard Roynette, Marc Yor

  • Series Title: Lecture Notes in Mathematics

  • DOI: https://doi.org/10.1007/978-3-540-89699-9

  • Publisher: Springer Berlin, Heidelberg

  • eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)

  • Copyright Information: Springer-Verlag Berlin Heidelberg 2009

  • Softcover ISBN: 978-3-540-89698-2Published: 25 March 2009

  • eBook ISBN: 978-3-540-89699-9Published: 31 July 2009

  • Series ISSN: 0075-8434

  • Series E-ISSN: 1617-9692

  • Edition Number: 1

  • Number of Pages: XIII, 275

  • Topics: Probability Theory

Buying options

eBook USD 39.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 54.99
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions