Overview
- Includes supplementary material: sn.pub/extras
Part of the book series: Lecture Notes in Mathematics (LNM, volume 1873)
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About this book
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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Table of contents (7 chapters)
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Front Matter
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Back Matter
Authors and Affiliations
Bibliographic Information
Book Title: Random Times and Enlargements of Filtrations in a Brownian Setting
Authors: Roger Mansuy, Marc Yor
Series Title: Lecture Notes in Mathematics
DOI: https://doi.org/10.1007/11415558
Publisher: Springer Berlin, Heidelberg
eBook Packages: Mathematics and Statistics, Mathematics and Statistics (R0)
Copyright Information: Springer-Verlag Berlin Heidelberg 2006
Softcover ISBN: 978-3-540-29407-8Published: 19 December 2005
eBook ISBN: 978-3-540-32416-4Published: 25 July 2006
Series ISSN: 0075-8434
Series E-ISSN: 1617-9692
Edition Number: 1
Number of Pages: XIII, 158