Coverart for item
The Resource Random times and enlargements of filtrations in a Brownian setting, Roger Mansuy, Marc Yor

Random times and enlargements of filtrations in a Brownian setting, Roger Mansuy, Marc Yor

Label
Random times and enlargements of filtrations in a Brownian setting
Title
Random times and enlargements of filtrations in a Brownian setting
Statement of responsibility
Roger Mansuy, Marc Yor
Creator
Contributor
Subject
Language
eng
Summary
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
Member of
Cataloging source
GW5XE
http://library.link/vocab/creatorName
Mansuy, Roger
Dewey number
519.2/3
Illustrations
illustrations
Index
index present
LC call number
QA274
LC item number
.M355 2006eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Yor, Marc
Series statement
Lecture notes in mathematics,
Series volume
1873
http://library.link/vocab/subjectName
  • Stochastic processes
  • Filters (Mathematics)
  • Brownian motion processes
  • Processus stochastiques
  • Filtres (Mathématiques)
  • Mouvement brownien, Processus de
  • MATHEMATICS
  • Brownian motion processes
  • Filters (Mathematics)
  • Stochastic processes
  • Stoptijden (wiskunde)
  • Martingalen
  • Brownse beweging
  • Brownsche Bewegung
  • Stoppzeit
  • Martingal
  • Stochastischer Prozess
Label
Random times and enlargements of filtrations in a Brownian setting, Roger Mansuy, Marc Yor
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 141-155) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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 -- Sketches of solutions for the exercises
Control code
262692551
Dimensions
unknown
Extent
1 online resource (xiii, 158 pages)
Form of item
online
Isbn
9783540294078
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/11415558
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-29407-8
Specific material designation
remote
System control number
(OCoLC)262692551
Label
Random times and enlargements of filtrations in a Brownian setting, Roger Mansuy, Marc Yor
Publication
Bibliography note
Includes bibliographical references (pages 141-155) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
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 -- Sketches of solutions for the exercises
Control code
262692551
Dimensions
unknown
Extent
1 online resource (xiii, 158 pages)
Form of item
online
Isbn
9783540294078
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/11415558
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-29407-8
Specific material designation
remote
System control number
(OCoLC)262692551

Library Locations

    • Ellis LibraryBorrow it
      1020 Lowry Street, Columbia, MO, 65201, US
      38.944491 -92.326012
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