Access this book
Tax calculation will be finalised at checkout
Other ways to access
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.
Similar content being viewed by others
Keywords
Table of contents (5 chapters)
-
Front Matter
-
Back Matter
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
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