Penalising Brownian Paths (English, Bernard Roynette | Marc Yor)
by Bernard Roynette | Marc Yor
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Book Details
Publisher
Springer
Language
English
ISBN-13
9783540896982
ISBN-10
3540896988
Author
Bernard Roynette | Marc Yor
About the 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…
ISBN: 9783540896982
ISBN-13: 9783540896982
ISBN-10: 3540896988
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Product ID: isbn-9783540896982
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