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100301s2009 gw | s |||| 0|eng d |
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|a 9783540896999
|9 978-3-540-89699-9
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| 024 |
7 |
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|a 10.1007/978-3-540-89699-9
|2 doi
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| 100 |
1 |
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|a Roynette, Bernard.
|e author.
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| 245 |
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|a Penalising Brownian Paths
|c by Bernard Roynette, Marc Yor.
|h [electronic resource] /
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| 264 |
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|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg,
|c 2009.
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| 300 |
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|b online resource.
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| 336 |
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|a text
|b txt
|2 rdacontent
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| 337 |
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|a computer
|b c
|2 rdamedia
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| 338 |
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|a online resource
|b cr
|2 rdacarrier
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| 347 |
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|a text file
|b PDF
|2 rda
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| 490 |
1 |
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|a Lecture Notes in Mathematics,
|v 1969
|x 0075-8434 ;
|
| 505 |
0 |
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|a Introduction -- 1 Some Penalisations of Wiener Measure -- 2 Feynman-Kac Penalisations for Brownian Motion -- 3 Penalisations of a Bessel Process with Dimension d (0<d<2) by a Function of the Ranked Lengths of its Excursions -- 4 A General Principle and some Questions About Penalisations.
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|a 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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| 650 |
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|a Mathematics.
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| 650 |
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|a Distribution (Probability theory).
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| 650 |
1 |
4 |
|a Mathematics.
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| 650 |
2 |
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|a Probability Theory and Stochastic Processes.
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| 700 |
1 |
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|a Yor, Marc.
|e author.
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| 710 |
2 |
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|a SpringerLink (Online service)
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| 773 |
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|t Springer eBooks
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| 776 |
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8 |
|i Printed edition:
|z 9783540896982
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| 830 |
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|a Lecture Notes in Mathematics,
|v 1969
|x 0075-8434 ;
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| 856 |
4 |
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|u https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-540-89699-9
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|a ZDB-2-SMA
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| 912 |
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|a ZDB-2-LNM
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| 950 |
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|a Mathematics and Statistics (Springer-11649)
|