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: Mansuy, Roger, Yor, Marc (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg Springer Berlin Heidelberg 2006, 2006
Edition:1st ed. 2006
Series:Lecture Notes in Mathematics
Subjects:
Online Access:
Collection: Springer eBooks 2005- - Collection details see MPG.ReNa
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
Physical Description:XIII, 158 p online resource
ISBN:9783540324164