Penalising Brownian Paths pdf epub mobi txt 電子書 下載2025
出版者:Springer
作者:Bernard Roynette
出品人:
頁數:288
译者:
出版時間:2009-3-25
價格:USD 79.95
裝幀:Paperback
isbn號碼:9783540896982
叢書系列:
圖書標籤:
- 數學
- Springer
- 2009
- Stochastic Analysis
- Brownian Motion
- Penalization
- Partial Differential Equations
- Probability Theory
- Mathematical Finance
- Optimal Control
- Viscosity Solutions
- Stochastic Control
- Functional Analysis
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具體描述
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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