Random times and enlargements of filtrations in a Brownian setting /
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| Author / Creator: | Mansuy, Roger. |
|---|---|
| Imprint: | Berlin ; New York : Springer, ©2006. |
| Description: | 1 online resource (xiii, 158 pages) : illustrations. |
| Language: | English |
| Series: | Lecture notes in mathematics, 0075-8434 ; 1873 Lecture notes in mathematics (Springer-Verlag) ; 1873. |
| Subject: | |
| Format: | E-Resource Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/11068838 |
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| 100 | 1 | |a Mansuy, Roger. |0 http://id.loc.gov/authorities/names/nb2006000879 |1 http://viaf.org/viaf/34711286 | |
| 245 | 1 | 0 | |a Random times and enlargements of filtrations in a Brownian setting / |c Roger Mansuy, Marc Yor. |
| 260 | |a Berlin ; |a New York : |b Springer, |c ©2006. | ||
| 300 | |a 1 online resource (xiii, 158 pages) : |b illustrations. | ||
| 336 | |a text |b txt |2 rdacontent |0 http://id.loc.gov/vocabulary/contentTypes/txt | ||
| 337 | |a computer |b c |2 rdamedia |0 http://id.loc.gov/vocabulary/mediaTypes/c | ||
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| 490 | 1 | |a Lecture notes in mathematics, |x 0075-8434 ; |v 1873 | |
| 504 | |a Includes bibliographical references (pages 141-155) and index. | ||
| 505 | 0 | |a Enlargements of filtrations -- Stopping and non-stopping times -- On the martingales which vanish on the set of Brownian zeroes -- PRP and CRP for some remarkable martingales -- Unveiling the Brownian path (or history) as the level rises -- Weak and strong Brownian filtrations -- Sketches of solutions for the exercises. | |
| 588 | 0 | |a Print version record. | |
| 520 | |a 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. | ||
| 650 | 0 | |a Stochastic processes. |0 http://id.loc.gov/authorities/subjects/sh85128181 | |
| 650 | 0 | |a Filters (Mathematics) |0 http://id.loc.gov/authorities/subjects/sh85048251 | |
| 650 | 0 | |a Brownian motion processes. |0 http://id.loc.gov/authorities/subjects/sh85017265 | |
| 651 | 4 | |a New York <NY, 2004> | |
| 650 | 6 | |a Processus stochastiques. | |
| 650 | 6 | |a Filtres (Mathématiques) | |
| 650 | 6 | |a Mouvement brownien, Processus de. | |
| 650 | 7 | |a MATHEMATICS |x Probability & Statistics |x Stochastic Processes. |2 bisacsh | |
| 650 | 7 | |a Brownian motion processes. |2 fast |0 (OCoLC)fst00839765 | |
| 650 | 7 | |a Filters (Mathematics) |2 fast |0 (OCoLC)fst00924327 | |
| 650 | 7 | |a Stochastic processes. |2 fast |0 (OCoLC)fst01133519 | |
| 650 | 1 | 7 | |a Stoptijden (wiskunde) |2 gtt |
| 650 | 1 | 7 | |a Martingalen. |2 gtt |
| 650 | 1 | 7 | |a Brownse beweging. |2 gtt |
| 650 | 7 | |a Brownsche Bewegung |2 gnd | |
| 650 | 7 | |a Stoppzeit |2 gnd | |
| 650 | 7 | |a Martingal |2 gnd | |
| 650 | 7 | |a Stochastischer Prozess |2 gnd | |
| 650 | 7 | |a Mathematical Statistics. |2 hilcc | |
| 650 | 7 | |a Mathematics. |2 hilcc | |
| 650 | 7 | |a Physical Sciences & Mathematics. |2 hilcc | |
| 655 | 4 | |a Electronic books. | |
| 700 | 1 | |a Yor, Marc. |0 http://id.loc.gov/authorities/names/n79028552 |1 http://viaf.org/viaf/2533846 | |
| 776 | 0 | 8 | |i Print version: |a Mansuy, Roger. |t Random times and enlargements of filtrations in a Brownian setting. |d Berlin ; New York : Springer, ©2006 |z 9783540294078 |w (DLC) 2005934037 |w (OCoLC)62900880 |
| 830 | 0 | |a Lecture notes in mathematics (Springer-Verlag) ; |v 1873. | |
| 856 | 4 | 0 | |u http://link.springer.com/10.1007/11415558 |y SpringerLink |
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