Buch, Englisch, Band 1969, 275 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 452 g
Reihe: Lecture Notes in Mathematics
Buch, Englisch, Band 1969, 275 Seiten, Format (B × H): 155 mm x 235 mm, Gewicht: 452 g
Reihe: Lecture Notes in Mathematics
ISBN: 978-3-540-89698-2
Verlag: Springer Berlin Heidelberg
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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Some penalisations of theWiener measure.- Feynman-Kac penalisations for Brownian motion.- Penalisations of a Bessel process with dimension d(0 d 2) by a function of the ranked lengths of its excursions.- A general principle and some questions about penalisations.
