Penalising Brownian Paths

• Main Authors: Roynette, Bernard. (Author), Yor, Marc. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Lecture Notes in Mathematics, 1969
• Subjects: Mathematics.; Distribution (Probability theory).; Probability Theory and Stochastic Processes.
• Online Access: https://ezaccess.library.uitm.edu.my/login?url=http://dx.doi.org/10.1007/978-3-540-89699-9

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 theor...

Table of Contents:

• 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.