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Penalising Brownian Paths
Paperback
Series: Lecture Notes in Mathematics, Book 1969
ISBN13: 9783540896982
Publisher: Springer
Published: Mar 25 2009
Pages: 275
Weight: 0.95
Height: 0.60 Width: 6.10 Depth: 9.20
Language: English
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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