Item type | Current location | Collection | Call number | Copy number | Status | Date due | Barcode |
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E-Books | Biblioteca da FCTUNL Online | Não Ficção | QA274.75.SPR FCT 82204 (Browse shelf) | 1 | Available |
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QA274.75.SPR FCT 81836 Functionals of multidimensional diffusions with applications to finance | QA274.75.SPR FCT 81953 Brownian motion and its applications to mathematical analysis | QA274.75.SPR FCT 82050 Inference on the Hurst parameter and the variance of diffusions driven by fractional brownian motion | QA274.75.SPR FCT 82204 Penalising brownian paths | QA274.75.SPR FCT 82544 Inference for diffusion processes | QA274.75.SPR FCT 82576 Mouvement brownien, martingales et calcul stochastique | QA274.75.SPR FCT 82649 Fractional fields and applications |
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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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