Random Times and Enlargements of Filtrations in a Brownian Setting
Publication year: 2006
ISBN: 978-3-540-32416-4
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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.
Subject: Mathematics and Statistics, Brownian filtration, Brownian motion, Helium-Atom-Streuung, Martingale, Stochastic calculus, Stopping times, enlargement of filtration, filtration
