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Beschreibung
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.
Details
| Verlag | Springer Berlin |
| Ersterscheinung | 25. März 2009 |
| Maße | 23.5 cm x 15.5 cm |
| Gewicht | 452 Gramm |
| Format | Softcover |
| ISBN-13 | 9783540896982 |
| Seiten | 275 |
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