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Penalising Brownian Paths (Paperback, 2009 ed.) Loot Price: R1,522
Discovery Miles 15 220
Penalising Brownian Paths (Paperback, 2009 ed.): Bernard Roynette, Marc Yor

Penalising Brownian Paths (Paperback, 2009 ed.)

Bernard Roynette, Marc Yor

Series: Lecture Notes in Mathematics, 1969

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Loot Price R1,522 Discovery Miles 15 220 | Repayment Terms: R143 pm x 12*

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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.

General

Imprint: Springer-Verlag
Country of origin: Germany
Series: Lecture Notes in Mathematics, 1969
Release date: March 2009
First published: 2009
Authors: Bernard Roynette • Marc Yor
Dimensions: 235 x 155 x 15mm (L x W x T)
Format: Paperback
Pages: 275
Edition: 2009 ed.
ISBN-13: 978-3-540-89698-2
Categories: Books > Science & Mathematics > Mathematics > Probability & statistics
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LSN: 3-540-89698-8
Barcode: 9783540896982

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