by J Najnudel, B Roynette, & M Yor

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.

Published by Mathematical Society of Japan and distributed by World Scientific Publishing Co. for all markets

• Existence and Main Properties of W
• Existence and Properties of W⁽²⁾
• The Analogue of the Measure W for a Class of Linear Diffusions
• An Analogue of the Measure W for Discrete Markov Chains