Penalising Brownian Paths (Lecture Notes in Mathematics)

by Bernard Roynette (Author), Marc Yor (Author)

• New

  Paperback
  2009

  $60.65

  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.