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Random Times and Enlargements of Filtrations in a Brownian Setting
In November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. These notes follow the contents of that course, covering expansion of filtration formulae; BDG inequalities up to any random time; martingales that vanish on the zero set of Brownian motion; the Azéma...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2006.
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| Edición: | 1st ed. 2006. |
| Colección: | Lecture Notes in Mathematics,
1873 |
| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- Notation and Convention
- Stopping and Non-stopping Times
- On the Martingales which Vanish on the Set of Brownian Zeroes
- Predictable and Chaotic Representation Properties for Some Remarkable Martingales Including the Azéma and the Dunkl Martingales
- Unveiling the Brownian Path (or history) as the Level Rises
- Weak and Strong Brownian Filtrations
- Sketches of Solutions for the Exercises.