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roynette b yor m penalising brownian paths 2009

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Textbook in PDF format 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. Front Matter Introduction Some penalisations of the Wiener measure Feynman-Kac penalisations for Brownian motion Penalisations of a Bessel process with dimension d(0 d 2) by a function of the ranked lengths of its excursions A general principle and some questions about penalisations Back Matter

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Roynette B., Yor M. Penalising Brownian paths 2009.pdf 23.0 MB

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roynette b yor m penalising brownian paths 2009