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- Author: Bernard Roynette
- Publisher: Springer
- Year: 2009
- Pages: 275
- ISBN-10: 3540896988
- ISBN-13: 9783540896982
- Format: 15.5 x 23.4 x 1.5 cm, minkšti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
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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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- Author: Bernard Roynette
- Publisher: Springer
- Year: 2009
- Pages: 275
- ISBN-10: 3540896988
- ISBN-13: 9783540896982
- Format: 15.5 x 23.4 x 1.5 cm, minkšti viršeliai
- Language: English 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.
Reviews