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Penalising Brownian paths
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 theor...
| Autores principales: | , |
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| Lenguaje: | eng |
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Springer
2009
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| Acceso en línea: | https://dx.doi.org/10.1007/978-3-540-89699-9 http://cds.cern.ch/record/1691737 |