Penalising Brownian Paths (Lecture Notes in Mathematics Book 1969) 2009th Edition by Bernard Roynette (PDF)

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    Ebook Info

    • Published: 2009
    • Number of pages: 288 pages
    • Format: PDF
    • File Size: 2.65 MB
    • Authors: Bernard Roynette

    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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