TY - BOOK ID - 5442247 TI - Random times and enlargements of filtrations in a Brownian setting AU - Mansuy, Roger AU - Yor, Marc AU - SpringerLink (Online service) PY - 2006 VL - 1873 SN - 9783540294078 3540294074 9786610625703 1280625708 354032416X PB - Berlin ; New York, NY : Springer, DB - UniCat KW - Stochastic processes KW - Filters (Mathematics) KW - Brownian motion processes KW - Processus stochastiques KW - Filtres (Mathématiques) KW - Mouvement brownien, Processus de KW - Mathematics. KW - Distribution (Probability theory). KW - Probability Theory and Stochastic Processes. KW - Mathematical Statistics KW - Mathematics KW - Physical Sciences & Mathematics KW - Stochastic processes. KW - Brownian motion processes. KW - Filtres (Mathématiques) KW - EPUB-LIV-FT SPRINGER-B KW - Wiener processes KW - Random processes KW - Probabilities. KW - Probability KW - Statistical inference KW - Combinations KW - Chance KW - Least squares KW - Mathematical statistics KW - Risk KW - Math KW - Science KW - Brownian movements KW - Fluctuations (Physics) KW - Markov processes KW - Probabilities KW - Distribution (Probability theory. KW - Distribution functions KW - Frequency distribution KW - Characteristic functions UR - https://www.unicat.be/uniCat?func=search&query=sysid:5442247 AB - 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. ER -