Skip to main content

Inegalités de martingales continues arretées à un temps quelconque

  • Chapitre III: Grossissement Progressif D'une Filtration
  • Conference paper
  • First Online:

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 1118))

This is a preview of subscription content, log in via an institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   34.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   46.00
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. J. AZEMA: Quelques applications de la théorie générale des processus I-Inv. Math. 18 (293–336), 1972.

    Article  MathSciNet  MATH  Google Scholar 

  2. M.T. BARLOW: Study of a filtration expanded to include an honest time. Z.f.W. 44 (307–323), 1978

    Article  MathSciNet  MATH  Google Scholar 

  3. J.M. BISMUT, M. YOR: An inequality for processes which satisfy Kolmogorov's continuity criterion. Application to continuous martingales. Journal of Funct. Anal. Vol 51, no2, 166–173 (1983).

    Article  MathSciNet  MATH  Google Scholar 

  4. C. BORELL: The Brunn-Minkowski inequality in Gauss space. Inventiones Math., no30, p. 207–216 (1975).

    Google Scholar 

  5. D. BURKHOLDER: Exit times of Brownian Motion and Hardy spaces. Advances in Math, 26, 182–205, (1977).

    Article  MathSciNet  MATH  Google Scholar 

  6. D. BURKHOLDER, B. DAVIS, R. GUNDY: Integral inequalities for convex functions of operators on martingales. Proc. 6th. Berkeley Symp. 2 (223–240), 1972.

    MathSciNet  MATH  Google Scholar 

  7. B. DAVIS: On stopping times for n-dimensional Brownian Motion. Annals of Proba., 6, 4, 651–659 (1978).

    Article  MathSciNet  MATH  Google Scholar 

  8. C. DELLACHERIE, P.A. MEYER: Probabilités et Potentiels. Théorie des Martingales. Hermann (1980).

    Google Scholar 

  9. L. GALLARDO: Au sujet du contenu probabiliste d'un lemme d'Henri Poincaré. Annales de l'Université de Clermont, 69. Mathématiques (19ème fascicule).

    Google Scholar 

  10. A.M. GARSIA: Martingale inequalities: seminar notes on recent progress. Benjamin, Reading (1973).

    MATH  Google Scholar 

  11. C. HERZ: Bounded mean oscillation and regulated martingales. Trans.AMS, 193, 1974, p. 199–215.

    Article  MathSciNet  MATH  Google Scholar 

  12. T. JEULIN: Semi-martingales et grossissement d'une filtration. Lect. Notes in Maths 833, Springer (1980).

    Google Scholar 

  13. T. JEULIN, M. YOR: Nouveaux résultats sur le grossissement des tribus, Ann. Scient. ENS, 4ème série, 11, (429–443), 1978.

    MathSciNet  MATH  Google Scholar 

  14. N. EL KAROUI, M. CHALEYAT-MAUREL: Un problème de réflexion et ses applications au temps local et aux équations différentielles stochastiques sur ℝ. Cas continu. Astérique 52–53 (117–144), 1978.

    Google Scholar 

  15. H.P. Mc KEAN: Stochastic Integrals. Academic Press (1969).

    Google Scholar 

  16. H.P. Mc KEAN: Geometry of Differential Space. Annals of Proba., 1, 197–206 (1973).

    Article  MathSciNet  Google Scholar 

  17. F.B. KNIGHT: Random Walks and the sojourn density process of Brownian motion. Trans. Amer. Math. Soc., 109, 56–86, (1963).

    Article  MathSciNet  MATH  Google Scholar 

  18. H. KUNITA: Absolute continuity of Markov processes. Sém. Proba. X, (44–77), 1976, Springer Lecture Notes 511.

    Google Scholar 

  19. E. LENGLART, D. LEPINGLE, M. PRATELLI: Présentation unifiée de certaines inégalités de la théorie des martingales. Sém. Proba. XIV, Lect. Notes in Maths. 784, Springer (1980).

    Google Scholar 

  20. J. NEVEU: Martingales à temps discret. Masson-Paris (1972).

    Google Scholar 

  21. J.W. PITMAN, M. YOR: Bessel processes and Infinitely divisible laws. Lect. Notes in Maths. 851. Springer (1981).

    Google Scholar 

  22. J.W. PITMAN, M. YOR: A Decomposition of Bessel Bridges. Zeitschrift für Wahr, 59, 425–457 (1982).

    Article  MathSciNet  MATH  Google Scholar 

  23. H. POINCARE: Calcul des probabilités. Gauthier-Villars, Paris (1912).

    MATH  Google Scholar 

  24. D. RAY: Sojourn times of diffusion processes. III, J. Math. 7, 615–630 (1963).

    MathSciNet  MATH  Google Scholar 

  25. M.J. SHARPE: Some transformations of diffusions by time reversal. Annals of Proba., 8, no6, 1157–1163 (Déc. 1980).

    Article  MathSciNet  MATH  Google Scholar 

  26. S. WATANABE: On time-inversion of one dimensional diffusion processes. Z. für Wahr., 31, 115–124 (1975).

    Article  MathSciNet  MATH  Google Scholar 

  27. S. WATANABE, T. YAMADA: On the uniqueness of solutions of stochastic differential equations. J. Math. Kyoto Univ. 11 (1971), 155–167.

    MathSciNet  MATH  Google Scholar 

  28. D. WILLIAMS: Diffusions, Markov processes and Martingales. Wiley (1979).

    Google Scholar 

  29. D. WILLIAMS: Path decomposition and continuity of local time for one dimensional diffusion I; Proc. London Math. Soc. 3 (1974).

    Google Scholar 

  30. Ch. YOEURP: Thèse de Doctorat d'Etat. Université P. et M. Curie. Paris (1982).

    Google Scholar 

  31. M. YOR: Rappels et préliminaires généraux, in "Temps locaux". Astérique 52–53, Société Math. de France (1978).

    Google Scholar 

  32. C. NANOPOULOS, Ph. NOBELIS: Régularité et propriétés limites des fonctions aléatoires. Sém. de probabilités XII. Lecture Notes in Maths. 649. Springer (1978).

    Google Scholar 

Download references

Authors

Editor information

Th. Jeulin M. Yor

Rights and permissions

Reprints and permissions

Copyright information

© 1985 Springer-Verlag

About this paper

Cite this paper

Yor, M. (1985). Inegalités de martingales continues arretées à un temps quelconque. In: Jeulin, T., Yor, M. (eds) Grossissements de filtrations: exemples et applications. Lecture Notes in Mathematics, vol 1118. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0075772

Download citation

  • DOI: https://doi.org/10.1007/BFb0075772

  • Published:

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-15210-1

  • Online ISBN: 978-3-540-39339-9

  • eBook Packages: Springer Book Archive

Publish with us

Policies and ethics