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Roger Mansuy & Marc Yor 
Random Times and Enlargements of Filtrations in a Brownian Setting [PDF ebook] 

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Hoes van Roger Mansuy & Marc Yor: Random Times and Enlargements of Filtrations in a Brownian Setting (PDF)

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 Azema-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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Taal Engels ● Formaat PDF ● ISBN 9783540324164 ● Uitgeverij Springer Berlin Heidelberg ● Gepubliceerd 2006 ● Downloadbare 6 keer ● Valuta EUR ● ID 6316724 ● Kopieerbeveiliging Adobe DRM
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