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Random times and enlargements of filtrations in a Brownian setting

Author: Roger Mansuy; Marc Yor
Publisher: Berlin : Springer, cop. 2006.
Series: Lecture notes in mathematics, 1873
Edition/Format:   Print book : EnglishView all editions and formats
Database:WorldCat
Summary:

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  Read more...

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Details

Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Roger Mansuy; Marc Yor
ISBN: 3540294074 9783540294078
OCLC Number: 470548733
Notes: Bibliogr. p. 142-155.
Description: 1 vol. (XIII-158 p.) : ill. ; 24 cm.
Contents: Notation and Convention.- Stopping and Non-stopping Times.- On the Martingales which Vanish on the Set of Brownian Zeroes.- Predictable and Chaotic Representation Properties for Some Remarkable Martingales Including the Azema and the Dunkl Martingales.- Unveiling the Brownian Path (or history) as the Level Rises.- Weak and Strong Brownian Filtrations.- Sketches of Solutions for the Exercises.
Series Title: Lecture notes in mathematics, 1873
Responsibility: Roger Mansuy, Marc Yor.
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