Random Times and Enlargements of Filtrations in a Brownian Setting
(Sprache: Englisch)
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...
Leider schon ausverkauft
versandkostenfrei
Buch
37.40 €
18 DeutschlandCard Punkte
sammeln
- Lastschrift, Kreditkarte, Paypal, Rechnung
- Kostenlose Rücksendung
Produktdetails
Produktinformationen zu „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-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.
Klappentext zu „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-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.
Inhaltsverzeichnis zu „Random Times and Enlargements of Filtrations in a Brownian Setting “
- Preliminaries- 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
- Appendix: Sketches of Solutions for the Exercises
- References
- Index.
Bibliographische Angaben
- Autoren: Roger Mansuy , Marc Yor
- 2005, 158 Seiten, Maße: 15,9 x 24,3 cm, Kartoniert (TB), Englisch
- Verlag: Springer
- ISBN-10: 3540294074
- ISBN-13: 9783540294078
Sprache:
Englisch
Kommentar zu "Random Times and Enlargements of Filtrations in a Brownian Setting"
0 Gebrauchte Artikel zu „Random Times and Enlargements of Filtrations in a Brownian Setting“
| Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
|---|
Schreiben Sie einen Kommentar zu "Random Times and Enlargements of Filtrations in a Brownian Setting".
Kommentar verfassen