Sciences, Technology & Medicine
Penalising Brownian Paths (English, Bernard Roynette | Marc Yor)
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Book Details
| ISBN-13 | 9783540896982 |
| ISBN-10 | 3540896988 |
Product Description
About the Book
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…
ISBN: 9783540896982
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