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Anglický jazyk
Penalising Brownian Paths
Autor: Marc Yor
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... Viac o knihe
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O knihe
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.
- Vydavateľstvo: Springer Berlin Heidelberg
- Rok vydania: 2009
- Formát: Paperback
- Rozmer: 235 x 155 mm
- Jazyk: Anglický jazyk
- ISBN: 9783540896982
