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Random Times and Enlargements of Filtrations in a Brownian Setting

  • Roger Mansuy
  • Marc Yor

Part of the Lecture Notes in Mathematics book series (LNM, volume 1873)

Table of contents

  1. Front Matter
    Pages I-XIII
  2. Roger Mansuy, Marc Yor
    Pages 1-39
  3. Roger Mansuy, Marc Yor
    Pages 41-51
  4. Roger Mansuy, Marc Yor
    Pages 103-116
  5. Roger Mansuy, Marc Yor
    Pages 117-139
  6. Back Matter
    Pages 141-158

About this book

Introduction

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.

Keywords

Brownian filtration Brownian motion Helium-Atom-Streuung Martingale Stochastic calculus Stopping times enlargement of filtration filtration

Authors and affiliations

  • Roger Mansuy
    • 1
  • Marc Yor
    • 1
  1. 1.Laboratoire de Probabilités et Modéles AléatoiresUniversité Paris VI Pierre et Marie CurieParis Cedex 05

Bibliographic information

  • DOI https://doi.org/10.1007/11415558
  • Copyright Information Springer-Verlag Berlin/Heidelberg 2006
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-540-29407-8
  • Online ISBN 978-3-540-32416-4
  • Series Print ISSN 0075-8434
  • Series Online ISSN 1617-9692
  • Buy this book on publisher's site