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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Some penalisations of the Wiener 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.Cumpărați această carte electronică și primiți încă 1 GRATUIT!
Limba Engleză ● Format PDF ● Pagini 275 ● ISBN 9783540896999 ● Editura Springer Berlin ● Oraș Heidelberg ● Țară DE ● Publicat 2009 ● Descărcabil 24 luni ● Valută EUR ● ID 2164805 ● Protecție împotriva copiilor Adobe DRM
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