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Random Times and Enlargements of Filtrations in a Brownian Setting (Lecture Notes in Mathematics) [Paperback]

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Item description for Random Times and Enlargements of Filtrations in a Brownian Setting (Lecture Notes in Mathematics) by Roger Mansuy...

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 Azma-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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Item Specifications...


Pages   162
Est. Packaging Dimensions:   Length: 9.2" Width: 6.1" Height: 0.5"
Weight:   0.6 lbs.
Binding  Softcover
Release Date   Feb 10, 2006
Publisher   Springer
ISBN  3540294074  
ISBN13  9783540294078  


Availability  109 units.
Availability accurate as of Mar 28, 2017 11:52.
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