Random times and enlargements of filtrations in a brownian setting
Auteur :
Mansuy, Roger
Éditeur :
Mansuy, RogerYor, Marc,
ISBN :
9783540294078
Date de publication :
19 déc. 2005
Dimensions :
23,4 x 15,6 x 0,9 cm
Poids :
284 g
Format :
Trade paperback (US)
Langue :
Anglais
Pays d'origine :
Allemagne
In 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 Azema-Emery martingales and chaos representation; and more.