Roynette, Bernard. <br/><br/>
Penalising Brownian Paths  [electronic resource] / 
by Bernard Roynette, Marc Yor. 
 -  online resource. 
 - Lecture Notes in Mathematics,  1969  0075-8434 ; .
 - Lecture Notes in Mathematics,  1969 .
<br/><br/>Some penalisations of theWiener 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. 
<br/><br/>ZDB-2-SMA ZDB-2-LNM 
<br/><br/> 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. 
<br/><br/><label>ISBN: </label>9783540896999 
<br/><br/><label>Standard No.: </label>10.1007/978-3-540-89699-9  doi 
<br/><br/><label>Subjects--Topical Terms: </label><br/>Mathematics.<br/>Distribution (Probability theory).<br/>Mathematics.<br/>Probability Theory and Stochastic Processes.