Penalising Brownian Paths
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.
Keywords
MathematicsProbability & StatisticsStochastic ProcessesScienceChemistry
2009Book
Author(s)Marc Yor
PublisherSpringer Science & Business Media
ISBN9783540896982
LanguageEnglish
