Projection d'une diffusion sur sa filtration lente

Catherine Rainer

Séminaire de probabilités de Strasbourg (1996)

  • Volume: 30, page 228-242

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Rainer, Catherine. "Projection d'une diffusion sur sa filtration lente." Séminaire de probabilités de Strasbourg 30 (1996): 228-242. <http://eudml.org/doc/113930>.

@article{Rainer1996,
author = {Rainer, Catherine},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {real diffusion; slow filtration; Lévy measure; Azéma martingale},
language = {eng},
pages = {228-242},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Projection d'une diffusion sur sa filtration lente},
url = {http://eudml.org/doc/113930},
volume = {30},
year = {1996},
}

TY - JOUR
AU - Rainer, Catherine
TI - Projection d'une diffusion sur sa filtration lente
JO - Séminaire de probabilités de Strasbourg
PY - 1996
PB - Springer - Lecture Notes in Mathematics
VL - 30
SP - 228
EP - 242
LA - eng
KW - real diffusion; slow filtration; Lévy measure; Azéma martingale
UR - http://eudml.org/doc/113930
ER -

References

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  3. [AY] Azéma J., Yor M. (1989): Etude d'une martingale remarquable, Sém. Prob. XXIII, LN1372, p.88-130, Springer Verlag. Zbl0743.60045MR1022900
  4. [CY] Carmona PH., Yor M. (1991): Processus d'Ornstein-Uhlenbeck : mesure de Lévy de l'inverse du temps local en zéro (note non publiée). 
  5. [DMaMe] Dellacherie C., Maisonneuve B., Meyer P.A. (1992): Probabilités et Potentiel, chap.XVII à XXIV, Hermann. 
  6. [DMe] Dellacherie C., Meyer P.A. (1987): Probabilités et Potentiel, chap. XXII-XVI, Hermann. MR898005
  7. [Kn] Knight F.B. (1980): Characterization of Lévy measures of inverse local times of gap diffusion, Sem. on Stoch. Proc.1980, Birkhäuser, p. 53-78. Zbl0518.60083MR647781
  8. [KoWa] Kotani S., Watanabe S. (1981): Krein's spectral theory of strings and generalized diffusion processus, LNM923, "Funct. Ana. in Markov processes", Springer Verlag. Zbl0496.60080
  9. [M] Méléard S. (1986): Applications du calcul stochastique à l'étude de processus de Markov réguliers sur [0,1], Stochastics19 (1986), p.41-82. Zbl0609.60083MR864337
  10. [R] Rainer C. (1994): Fermés marqués, filtrations lentes et équations de structure, Thèse de Doctorat de l'Université Paris VI. 
  11. [ReY] Revuz D., Yor M. (1991): Continuous Martingales and Brownian Motion, Grundlehren der math. Wiss.293, Springer Verlag. Zbl0731.60002MR1083357
  12. [RoWi] Rogers L.C.G., Williams D. (1987): Diffusions, Markov Processes and Martingales, vol.2, Wiley and Sons. Zbl0627.60001MR921238
  13. [TWi] Truman A., Williams D. (1990): Generalised Arc-Sine Law and Nelson's Stochastic Mechanics of One-Dimensional Time-Homogeneous Diffusions, in: Diffusion processes and related problems in Analysis, Vol 1., Birkhäuser. Zbl0726.60077MR1110160
  14. [Wi] Williams D. (1974): Path decomposition and continuity of local time for one dimensional diffusions I. Proc. London Math. Soc.(3), 28, p.738-768. Zbl0326.60093MR350881
  15. [Y1] Yor M. (1979): Sur le balayage des semimartingales continues, Sém. Prob. XIII, LNM721, Springer Verlag. p.453-471. Zbl0409.60042MR544815
  16. [Y2] Yor M. (1992): Some Aspects of Brownian Motion, Part 1, Some Special functionals, Lectures in Maths.ETH Zürich, Birkhâuser. Zbl0779.60070MR1193919

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