Faithin Omaha eBook Collection

Download or read book Penalising Brownian Paths written by Bernard Roynette and published by Springer. This book was released on 2009-07-31 with total page 291 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.