Une classe de processus stable par retournement du temps

Jean Picard

Séminaire de probabilités de Strasbourg (1986)

  • Volume: 20, page 56-67

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Picard, Jean. "Une classe de processus stable par retournement du temps." Séminaire de probabilités de Strasbourg 20 (1986): 56-67. <http://eudml.org/doc/113572>.

@article{Picard1986,
author = {Picard, Jean},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {semimartingales; Girsanov transform methods; exponential martingales; time reversal},
language = {fre},
pages = {56-67},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Une classe de processus stable par retournement du temps},
url = {http://eudml.org/doc/113572},
volume = {20},
year = {1986},
}

TY - JOUR
AU - Picard, Jean
TI - Une classe de processus stable par retournement du temps
JO - Séminaire de probabilités de Strasbourg
PY - 1986
PB - Springer - Lecture Notes in Mathematics
VL - 20
SP - 56
EP - 67
LA - fre
KW - semimartingales; Girsanov transform methods; exponential martingales; time reversal
UR - http://eudml.org/doc/113572
ER -

References

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  1. [1] R.J. Elliott et B.D.O. Anderson, Reverse time diffusions, Stochastic Processes and their Applications19 (1985), 327-339. Zbl0577.60058MR787590
  2. [2] H. Föllmer, An entropy approach to the time reversal of diffusion processes, Stochastic Differential Systems (Marseille 1984), Lect. N. in Cont. and Inf. Sc.69, Springer, 1985. Zbl0562.60083MR798318
  3. [3] U.G. Haussmann, On the drift of a reversed diffusion, Stochastic Differential Systems (Marseille 1984), Lect. N. in Cont. and Inf. Sc.69, Springer, 1985. Zbl0557.60047MR798319
  4. [4] U.G. Haussmann et E. Pardoux, Time reversal of diffusions, à paraître , Ann. of Prob.1985 Zbl0607.60065MR866342
  5. [5] J. Jacod et J. Mémin, Sur un type de convergence intermédiaire entre la convergence en loi et la convergence en probabilité, Séminaire de Probabilités XV, Lect. N. in Math.850, Springer, 1981. Zbl0458.60016MR622586
  6. [6] R.S. Liptser et A.N. Shiryayev, Statistics of random processes, Part I, General theory, Springer, 1977. Zbl0364.60004MR474486
  7. [7] E. Pardoux, Grossissement d'une filtration et retournement du temps d'une diffusion, Séminaire de Probabilités XX, this volume. Zbl0607.60042
  8. [8] J. Picard, An estimate of the error in time discretization of nonlinear filtering problems, Proc. 7th MTNS Symposium (Stockholm 1985), à paraître. Zbl0615.93068MR935393
  9. [9] M. Yor, Entropie d'une partition et grossissement initial d'une filtration, Grossissements de filtrations: exemples et applications (Paris 1982/83), Lect. N. in Math.1118, Springer, 1985. Zbl0568.60050MR884713
  10. [10] W.A. Zheng, Tightness results for laws of diffusion processes, application to stochastic mechanics, Ann. Inst, Henri Poincaré, Proba. et Stat.21 (1985), 103-124. Zbl0579.60050MR798890

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