Random times and enlargements of filtrations in a Brownian setting

＜図書＞
Random times and enlargements of filtrations in a Brownian setting

責任表示	Roger Mansuy, Marc Yor
シリーズ	Lecture notes in mathematics ; 1873
データ種別	図書
出版情報	Berlin : Springer , c2006
本文言語	英語
大きさ	xiii, 158 p. : ill. ; 24 cm
概要	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 inequ...lities 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. 続きを見る
電子版へのリンク	https://hdl.handle.net/2324/6949719

一般注記	University lectures in Colombia University, between the 10th and the 25th of November 2004 Includes bibliographical references (p. [141]-155) and index
著者標目	*Mansuy, Roger Yor, Marc, 1950-
件　名	LCSH:Stochastic processes LCSH:Filters (Mathematics) LCSH:Brownian motion processes
分　類	LCC:QA274 LCC:QA3
書誌ID	1001237174
ISBN	3540294074
NCID	BA75128178
URL
巻冊次	ISBN:3540294074 ; XISBN:9783540294078
登録日	2009.09.18
更新日	2017.02.18