Une martingale non pure, dont la filtration est brownienne

Samia Beghdadi-Sakrani

Séminaire de probabilités de Strasbourg (2002)

  • Volume: 36, page 348-359

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Beghdadi-Sakrani, Samia. "Une martingale non pure, dont la filtration est brownienne." Séminaire de probabilités de Strasbourg 36 (2002): 348-359. <http://eudml.org/doc/114097>.

@article{Beghdadi2002,
author = {Beghdadi-Sakrani, Samia},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {Brownian filtration; pure martingales; extremal martingales; Ocone martingale},
language = {fre},
pages = {348-359},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Une martingale non pure, dont la filtration est brownienne},
url = {http://eudml.org/doc/114097},
volume = {36},
year = {2002},
}

TY - JOUR
AU - Beghdadi-Sakrani, Samia
TI - Une martingale non pure, dont la filtration est brownienne
JO - Séminaire de probabilités de Strasbourg
PY - 2002
PB - Springer - Lecture Notes in Mathematics
VL - 36
SP - 348
EP - 359
LA - fre
KW - Brownian filtration; pure martingales; extremal martingales; Ocone martingale
UR - http://eudml.org/doc/114097
ER -

References

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  1. [1] Azéma J., Rainer C., Yor M. (1996) : Une propriété des martingales pures, Sém. Prob. XXX, Lec. Not. in Math.1626, p. 243-254, Springer. Zbl0857.60076MR1459487
  2. [2] Azéma J., Yor M. (1992) : Sur les zéros des martingales continues, Sém. Prob. XXVI, Lec. Not. in Math.1526, p. 248-306, Springer. Zbl0765.60038MR1231999
  3. [3] Barlow M.T., Émery M., Knight F.B., Song S., Yor M. (1998) : Autour d'un théorème de Tsirel'son sur les filtrations browniennes et non-browniennes, Sém. Prob. XXXII, Lec. Not. in Math.1686, p. 265-305, Springer. Zbl0914.60064MR1655299
  4. [4] Beghdadi-Sakrani S., Émery M. (1999) : On certain probabilities equivalent to coin-tossing, D'après SCHACHERMAYER, Sém. Prob. XXXIII, Lec. Not. in Math.1709, p. 240-256, Springer. Zbl0947.60080MR1767998
  5. [5] Beghdadi-Sakrani S. (2000) : Martingales continues, filtrations faiblement browniennes et mesures signées, Thèse de l'Univ. P. et M. Curie, Paris. 
  6. [6] Dellacherie C., Maisonneuve B., Meyer P.A. (1992) : Probabilités et potentiel, Chap. XVII à XXIV, Processus de Markov (fin), Compléments de calcul stochastique, Hermann. 
  7. [7] Dubins L., Feldman J., Smorodinsky M., TSIREL'SON B. (1996) : Decreasing sequences of σ-fields and a measure change for Brownian motion, Ann. Prob.24, p. 882-904. Zbl0870.60078MR1404533
  8. [8] Émery M., Schachermayer W. (1999) : Brownian filtrations are not stable under equivalent time-changes, Sém. Prob. XXXIII, Lec. Not. in Math.1709, p. 267-276, Springer. Zbl0949.60087MR1768000
  9. [9] Knight F.B. (1987) : On invertibility of martingale time changes, Sém. Stoch. Proc., Birkhäuser, Basel1988, p. 193-221. Zbl0646.60051MR1046417
  10. [10] Lane D.A. (1978) : On the fields of some Brownian martingales, Ann. Prob.6, p. 499-508. Zbl0391.60045MR482987
  11. [11] Revuz D., Yor M. (1994) : Continuous Martingales and Brownian Motion, second edition, Grundlehren der mathematischen Wissenschaften, Springer. Zbl0804.60001MR1303781
  12. [12] Stroock D.W., Yor M. (1980) : On extremal solutions of martingale problems, Ann. Scient. E.N.S., 4ème série, t. 13, p. 95-164. Zbl0447.60034MR584083
  13. [13] TSIREL'SON B. (1997) : Triple points: From non-Brownian filtrations to harmonie measures, GAFA, Geom. Funct. Anal.7, p. 1096-1142. Zbl0902.31004MR1487755
  14. [14] Vostrikova L., Yor M. (2000): Some invariance properties (of the laws) of Ocone's martingales, Sém. Prob. XXXIV, Lec. Not. in Math.1729, p. 417-431, Springer. Zbl0965.60047MR1768078
  15. [15] Yor M. (1979) : Sur l'étude des martingales continues extrémales, Stochastics, vol. 2.3, p. 191-196. Zbl0409.60043MR528910

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