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A martingale characterisation of the Brownian excursion compensator
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  • Published: January 1986

A martingale characterisation of the Brownian excursion compensator

  • Paul McGill1 nAff2 

Probability Theory and Related Fields volume 71, pages 117–128 (1986)Cite this article

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Summary

The note concerns the structure of the Brownian excursion filtration (ε x, x∈R). This filtration, indexed by the space variable, has infinite martingale dimension. We show how it can be characterised by the martingale properties of the reflecting Brownian local time.

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References

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Author information

Author notes
  1. Paul McGill

    Present address: Dublin Institute for Advanced Studies, 10, Burlington Road, Dublin 4, Ireland

Authors and Affiliations

  1. Laboratoire de Probabilités, Département de Mathématique et Informatique, Université de Rennes I, F-35042, Rennes Cedex, France

    Paul McGill

Authors
  1. Paul McGill
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McGill, P. A martingale characterisation of the Brownian excursion compensator. Probab. Th. Rel. Fields 71, 117–128 (1986). https://doi.org/10.1007/BF00366275

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  • Received: 25 September 1984

  • Revised: 20 May 1985

  • Issue Date: January 1986

  • DOI: https://doi.org/10.1007/BF00366275

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Keywords

  • Filtration
  • Stochastic Process
  • Probability Theory
  • Local Time
  • Mathematical Biology
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