Random times and enlargements of filtrations in a Brownian setting
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-...
| Main Author: | Mansuy, Roger. |
|---|---|
| Other Authors: | Yor, Marc., SpringerLink (Online service) |
| Format: | eBook |
| Language: | English |
| Published: |
Berlin ; New York :
Springer,
©2006.
Berlin ; New York : [2006] |
| Physical Description: |
1 online resource (xiii, 158 pages) : illustrations. |
| Series: |
Lecture notes in mathematics (Springer-Verlag) ;
1873. |
| Subjects: |
CMU Electronic Access
Electronic Resource Click Here| Location | Call Number: | Status |
|---|---|---|
| CMU Electronic Access | Available |