Overview

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.

Full Product Details

Author:   Bernard Roynette ,  Marc Yor
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   2009 ed.
Volume:   1969
Dimensions:   Width: 15.50cm , Height: 1.50cm , Length: 23.50cm
Weight:   0.456kg
ISBN:  

9783540896982

ISBN 10:   3540896988
Pages:   275
Publication Date:   25 March 2009
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Out of stock  
The supplier is temporarily out of stock of this item. It will be ordered for you on backorder and shipped when it becomes available.

Table of Contents

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.

Reviews

From the reviews: In this book the authors give a systematic study of penalisation. The book is divided into 5 chapters. ... This book is very useful for graduate students and researchers interested in learning penalisations. (Ren Ming Song, Mathematical Reviews, Issue 2010 e)

From the reviews: In this book the authors give a systematic study of penalisation. The book is divided into 5 chapters. ! This book is very useful for graduate students and researchers interested in learning penalisations. (Ren Ming Song, Mathematical Reviews, Issue 2010 e)

Author Information

Tab Content 6

Author Website:  

Customer Reviews

Recent Reviews

No review item found!

Add your own review!

Countries Available

All regions