Random Times and Enlargements of Filtrations in a Brownian Setting

by Roger Mansuy and Marc Yor

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...

• Format: Paperback
• Language: English
• ISBN: 3540294074
• ISBN13: 9783540294078
• Release Date: December 2005
• Publisher: Springer
• Length: 158 Pages
• Weight: 0.61 lbs.
• Dimensions: 0.4" x 6.4" x 9.3"