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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.
Produktinformation
- Utgivningsdatum2009-03-25
- Mått155 x 235 x 17 mm
- Vikt452 g
- FormatHäftad
- SpråkEngelska
- SerieLecture Notes in Mathematics
- Antal sidor275
- Upplaga2009
- FörlagSpringer-Verlag Berlin and Heidelberg GmbH & Co. KG
- ISBN9783540896982
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