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Penalising Brownian Paths

Jezik EngleskiEngleski
Knjiga Meki uvez
Knjiga Penalising Brownian Paths Bernard Roynette
Libristo kod: 01571062
Nakladnici Springer, Berlin, studeni 2008
Penalising a process is to modify its distribution with a limiting procedure, thus defining a new pr... Cijeli opis
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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.

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Informacije o knjizi

Puni naziv Penalising Brownian Paths
Autor Bernard Roynette, Marc Yor
Jezik Engleski
Uvez Knjiga - Meki uvez
Datum izdanja 2009
Broj stranica 275
EAN 9783540896982
ISBN 3540896988
Libristo kod 01571062
Nakladnici Springer, Berlin
Težina 456
Dimenzije 147 x 235 x 15

Kategorija

Mathematics & Science > Mathematics > Applied mathematics > Stochastics
Mathematics & Science > Mathematics > Probability & statistics
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