Lecture Notes in Mathematics

Roynette, Bernard; Yor, Marc

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

Published by: Springer

Publication Date: 2009-03-25

Format: Paperback

ISBN-13: 9783540896982

DOI: 10.1007/978-3-540-89699-9

Dimensions: 235cm x155cm

Pages: 275