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 sets out to acquaint its readers with the theory and main examples of enlargements of filtrations, of either the initial or the progressive kind. It is accessible to researchers and graduate students working in stochastic calculus and excursion theory, and more broadly to mathematicians acquainted with the basics of Brownian motion.
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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 sets out to acquaint its readers with the theory and main examples of enlargements of filtrations, of either the initial or the progressive kind. It is accessible to researchers and graduate students working in stochastic calculus and excursion theory, and more broadly to mathematicians acquainted with the basics of Brownian motion.
Imprint | Springer-Verlag |
Country of origin | Germany |
Series | Lecture Notes in Mathematics, 1873 |
Release date | December 2005 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2006 |
Authors | Roger Mansuy, Marc Yor |
Dimensions | 235 x 155 x 9mm (L x W x T) |
Format | Paperback |
Pages | 158 |
Edition | 2006 ed. |
ISBN-13 | 978-3-540-29407-8 |
Barcode | 9783540294078 |
Categories | |
LSN | 3-540-29407-4 |