Roynette, Bernard
Penalising brownian paths [Documento electrónico] / Bernard Roynette, Marc Yor. - Berlin, Heidelberg : Springer Berlin Heidelberg , 2009 . - (Lecture Notes in Mathematics) 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.
Clicar aqui para aceder a um recurso externo
ISBN 978-3-540-89699-9
Movimento browniano
Martingales (Matemática)
LCC QA274.75
Penalising brownian paths [Documento electrónico] / Bernard Roynette, Marc Yor. - Berlin, Heidelberg : Springer Berlin Heidelberg , 2009 . - (Lecture Notes in Mathematics) 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.
Clicar aqui para aceder a um recurso externo
ISBN 978-3-540-89699-9
Movimento browniano
Martingales (Matemática)
LCC QA274.75
