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 Az ma-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.
General
| Imprint: |
Springer-Verlag
|
| Country of origin: |
Germany |
| Series: |
Lecture Notes in Mathematics, 1873 |
| Release date: |
December 2005 |
| First published: |
2006 |
| Authors: |
Roger Mansuy
• Marc Yor
|
| Dimensions: |
235 x 155 x 9mm (L x W x T) |
| Format: |
Paperback
|
| Pages: |
158 |
| Edition: |
2006 ed. |
| ISBN-13: |
978-3-540-29407-8 |
| Categories: |
Books >
Science & Mathematics >
Mathematics >
Probability & statistics
|
| LSN: |
3-540-29407-4 |
| Barcode: |
9783540294078 |
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