Random Times and Enlargements of Filtrations in a Brownian Setting

by Roger Mansuy and Marc Yor

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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...

Format:Paperback

Language:English

ISBN:3540294074

ISBN13:9783540294078

Release Date:December 2005

Publisher:Springer

Length:158 Pages

Weight:0.61 lbs.

Dimensions:0.4" x 6.4" x 9.3"

Related Subjects

Math Mathematics Science & Math

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Random Times and Enlargements of Filtrations in a Brownian Setting

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