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Random Times and Enlargements of Filtrations in a Brownian Setting
Paperback
Series: Lecture Notes in Mathematics, Book 1873
ISBN13: 9783540294078
Publisher: Springer
Published: Dec 19 2005
Pages: 158
Weight: 0.61
Height: 0.41 Width: 6.38 Depth: 9.26
Language: English
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.
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