Random times and enlargements of filtrations in a Brownian setting /

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Bibliographic Details
Author / Creator:Mansuy, Roger.
Imprint:Berlin ; New York : Springer, ©2006.
Description:1 online resource (xiii, 158 pages) : illustrations.
Series:Lecture notes in mathematics, 0075-8434 ; 1873
Lecture notes in mathematics (Springer-Verlag) ; 1873.
Subject:Stochastic processes.
Filters (Mathematics)
Brownian motion processes.
Processus stochastiques.
Filtres (Mathématiques)
Mouvement brownien, Processus de.
MATHEMATICS -- Probability & Statistics -- Stochastic Processes.
Brownian motion processes.
Filters (Mathematics)
Stochastic processes.
Stoptijden (wiskunde)
Brownse beweging.
Brownsche Bewegung
Stochastischer Prozess
Mathematical Statistics.
Physical Sciences & Mathematics.
New York
Electronic books.
Format: E-Resource Book
URL for this record:http://pi.lib.uchicago.edu/1001/cat/bib/11068838
Hidden Bibliographic Details
Other authors / contributors:Yor, Marc.
Notes:Includes bibliographical references (pages 141-155) and index.
Print version record.
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.
Other form:Print version: Mansuy, Roger. Random times and enlargements of filtrations in a Brownian setting. Berlin ; New York : Springer, ©2006 9783540294078