Random Times and Enlargements of Filtrations in a Brownian Setting (Lecture Notes in Mathematics, 1873) - Softcover

Mansuy, Roger; Yor, Marc

 
9783540294078: Random Times and Enlargements of Filtrations in a Brownian Setting (Lecture Notes in Mathematics, 1873)
Softcover
ISBN 10: 3540294074 ISBN 13: 9783540294078
Publisher: Springer, 2005

Synopsis

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.

"synopsis" may belong to another edition of this title.

Publisher
Springer
Publication date
2005
Language
English
ISBN 10 
3540294074
ISBN 13 
9783540294078
Binding
Paperback
Number of pages
171

Other Popular Editions of the Same Title

9783540816805: Random Times and Enlargements of Filtrations in a Brownian Setting

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ISBN 10:  3540816801 ISBN 13:  9783540816805
Publisher: Springer, 2008
Softcover