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

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Capa do 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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Língua Inglês ● Formato PDF ● ISBN 9783540324164 ● Editora Springer Berlin Heidelberg ● Publicado 2006 ● Carregável 6 vezes ● Moeda EUR ● ID 6316724 ● Proteção contra cópia Adobe DRM

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