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-...
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| Main Authors: | , |
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| Format: | Livre numérique |
| Language: | Anglais |
| Published: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Edition: | 1st ed. 2006. |
| Series: | Lecture Notes in Mathematics
1873 |
| Subjects: | |
| Online Access: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Note: |
Description d'après consultation du 10 janvier 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Random times and enlargements of filtrations in a Brownian setting, Roger Mansuy, Marc Yor, 2006, Berlin, Springer, 1 vol. (XIII-158 p.), Lecture notes in mathematics, 3-540-29407-4 • Random Times and Enlargements of Filtrations in a Brownian Setting, Texte imprimé, 9783540816805 • Random times and enlargements of filtrations in a Brownian setting, Roger Mansuy, Marc Yor, 2006, Berlin, Springer, 1 vol. (XIII-158 p.), Lecture notes in mathematics, 3-540-29407-4 |
| Summary: | 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-Emery martingales and chaos representation; the filtration of truncated Brownian motion; attempts to characterize the Brownian filtration. The book accordingly sets out to acquaint its readers with the theory and main examples of enlargements of filtrations, of either the initial or the progressive kind. It is accessible to researchers and graduate students working in stochastic calculus and excursion theory, and more broadly to mathematicians acquainted with the basics of Brownian motion. |
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| Item Description: | Description d'après consultation du 10 janvier 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliography: | Bibliogr. p. 141-155. Index |
| ISBN: | 9783540324164 |
| ISSN: | 1617-9692 |
| Access: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |