Random Times and Enlargements of Filtrations in a Brownian Setting

• Main Authors: Mansuy, Roger (Author), Yor, Marc (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Series: Lecture Notes in Mathematics, 1873
• Subjects: Mathematics.; Probabilities.; Probability Theory and Stochastic Processes.

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-...