bokomslag Penalising Brownian Paths
Vetenskap & teknik

Penalising Brownian Paths

Bernard Roynette Marc Yor

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  • 275 sidor
  • 2009
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.
  • Författare: Bernard Roynette, Marc Yor
  • Format: Pocket/Paperback
  • ISBN: 9783540896982
  • Språk: Engelska
  • Antal sidor: 275
  • Utgivningsdatum: 2009-03-25
  • Förlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. K