Hidden Bibliographic Details
| Other authors / contributors: | Yor, Marc.
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| ISBN: | 9783540896999
3540896996
9783540896982
3540896988
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| Digital file characteristics: | text file PDF
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| Notes: | Includes bibliographical references.
English.
Print version record.
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| Summary: | Annotation 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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| Other form: | Print version: Roynette, Bernard. Penalising Brownian paths. Berlin : Springer, ©2009 3540896988
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| Standard no.: | 10.1007/978-3-540-89699-9
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| Publisher's no.: | 12581696
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