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Penalising Brownian Paths
Language
English
English
Book
Paperback
Penalising a process is to modify its distribution with a limiting procedure, thus defining a new pr...
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Libristo code: 01571062
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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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About the book
Full name
Penalising Brownian Paths
Author
Bernard Roynette, Marc Yor
Language
English
English
Binding
Book - Paperback
Date of issue
2009
Number of pages
275
EAN
9783540896982
ISBN
3540896988
Libristo code
01571062
Publishers
Springer, Berlin
Weight
456
Dimensions
147 x 235 x 15
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