Random times and enlargements of filtrations in a Brownian setting /
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...
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Book |
| Language: | English |
| Published: |
Berlin :
Springer,
2006
Berlin ; New York : 2006 Berlin ; New York : c2006 Berlin ; New York : 2006 |
| Series: | Lecture notes in mathematics (Springer-Verlag) ;
1873 Lecture notes in mathematics (Springer-Verlag) 1873 |
| Subjects: |
Table of Contents:
- Enlargements of filtrations
- Stopping and non-stopping times
- On the martingales which vanish on the set of Brownian zeroes
- PRP and CRP for some remarkable martingales
- Unveiling the Brownian path (or history) as the level rises
- Weak and strong Brownian filtrations
- Sketches of solutions for the exercises
- 1 Enlargements of filtrations
- 2. Stopping and non-stopping times
- 3. On the Martingales which vanish on the set of Brownian zeroes
- 4. PRP and CRP for some remarkable Martingales
- 5. Unveiling the Brownian path (or history) as the level rises
- 6. Weak and strong Brownian filtrations
- 7. Sketches of solutions for the exercises.