Random Times and Enlargements of Filtrations in a Brownian Setting (Lecture Notes in Mathematics) (Lecture Notes in Mathematics, 1873, Band 1873) - Softcover

Mansuy, Roger

 
9783540294078: Random Times and Enlargements of Filtrations in a Brownian Setting (Lecture Notes in Mathematics) (Lecture Notes in Mathematics, 1873, Band 1873)
Softcover
ISBN 10: 3540294074 ISBN 13: 9783540294078
Verlag: Springer, 2010

Inhaltsangabe

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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Über die Autorin bzw. den Autor

MARC YOR has been Professor at the Laboratoire de Probabilités et Modèles Aléatoires at the Université Pierre et Marie Curie, Paris, since 1981, and a member of the Académie des Sciences de Paris since 2003. His research interests - which are well illustrated in the present book - bear upon properties of Brownian functionals, either for pure or applied purposes. Recently, Marc Yor has also been working on the interface between number theory and random matrices. ROGER MANSUY has been teaching mathematics at the Lycée Louis le Grand, Paris, since 2006. He has been working with Marc Yor - who was the supervisor of Roger Mansuy's PhD thesis - in recent years. Prior to the present volume he and Marc Yor collaborated in publishing volume 1873 of the series Lecture Notes in Mathematics entitled "Random Times and Enlargements of Filtration in a Brownian setting".

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Verlag
Springer
Erscheinungsdatum
2010
Sprache
Englisch
ISBN 10 
3540294074
ISBN 13 
9783540294078
Einband
Taschenbuch
Anzahl der Seiten
180
Kontakt zum Hersteller
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Deutschland

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