A Global View of Brownian Penalisations

A Global View of Brownian Penalisations

Author(s) Joseph Najnudel, Bernard Roynette, Marc Yor

MSJ Memoirs, 19: 137pp. (2009). DOI: 10.2969/msjmemoirs/019010000

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Abstract

The present volume is an expository monograph on Brownian penalisation, an important new notion the authors introduced to the theory of Wiener measure and Markov processes. It will serve as a concise guidebook for students and researchers who study probability theory, stochastic processes and mathematical finance.

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Mathematical Society of Japan Memoirs, Volume 19

137 pp.

Rights: Copyright © 2009, The Mathematical Society of Japan

Published: 2009

First available in Project Euclid: 25 November 2014

zbMATH: 1180.60004

MathSciNet: MR2528440

Digital Object Identifier: 10.2969/msjmemoirs/019010000

ISBN: 9784931469525

Subjects:

Primary: 60G17 , 60G40 , 60G44 , 60H10 , 60J25 , 60J60 , 60J65

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TABLE OF CONTENTS
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Title and Copyright Pages

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, i-vi (2009). Open Access

Open Access

Preface

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, vii-viii (2009). Open Access

Open Access

Table of contents

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, ix-xi (2009). Open Access

Open Access

Chapter 1. On a remarkable $\sigma$-finite measure $\mathrm{W}$ on path space, which rules penalisations for linear Brownian motion

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, 1-72 (2009). https://doi.org/10.2969/msjmemoirs/01901C010 Open Access

Open Access

Chapter 2. Existence and properties of the measure $\mathrm{W}^{(2)}$

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, 73-88 (2009). https://doi.org/10.2969/msjmemoirs/01901C020 Open Access

Open Access

Chapter 3. The analogue of the measure $\mathrm{W}$ for a class of linear diffusions

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, 89-108 (2009). https://doi.org/10.2969/msjmemoirs/01901C030 Open Access

Open Access

Chapter 4. An analogue of $\mathrm{W}$ for discrete Markov chains

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, 109-127 (2009). https://doi.org/10.2969/msjmemoirs/01901C040 Open Access

Open Access

About our bibliography

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, 128-128 (2009). Open Access

Open Access

Index of main notations

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, 129-132 (2009). Open Access

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References

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, 133-136 (2009). Open Access

Open Access

Acknowledgment

Joseph Najnudel , Bernard Roynette , Marc Yor

Mathematical Society of Japan Memoirs Vol. 19, 137-137 (2009). Open Access

Open Access