Penalising Brownian paths
Author(s)
Bibliographic Information
Penalising Brownian paths
（Lecture notes in mathematics, 1969）
Springer, c2009
Available at / 57 libraries
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Library, Research Institute for Mathematical Sciences, Kyoto University数研
L/N||LNM||1969200010693518
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Note
Includes bibliographical references
Description and Table of Contents
Description
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.
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.
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