Integral representation of martingales in the brownian excursion filtration

P. Mc Gill

Séminaire de probabilités de Strasbourg (1986)

  • Volume: 20, page 465-502

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Mc Gill, P.. "Integral representation of martingales in the brownian excursion filtration." Séminaire de probabilités de Strasbourg 20 (1986): 465-502. <http://eudml.org/doc/113565>.

@article{McGill1986,
author = {Mc Gill, P.},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {excursion fields; local time; Ray-Knight theorems; martingale representation; time-change},
language = {eng},
pages = {465-502},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Integral representation of martingales in the brownian excursion filtration},
url = {http://eudml.org/doc/113565},
volume = {20},
year = {1986},
}

TY - JOUR
AU - Mc Gill, P.
TI - Integral representation of martingales in the brownian excursion filtration
JO - Séminaire de probabilités de Strasbourg
PY - 1986
PB - Springer - Lecture Notes in Mathematics
VL - 20
SP - 465
EP - 502
LA - eng
KW - excursion fields; local time; Ray-Knight theorems; martingale representation; time-change
UR - http://eudml.org/doc/113565
ER -

References

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  2. 2. Davis, M.H.A. and Varalya, P.The multiplicity of an increasing family of σ-fields, Ann. of Prob.2958-963 (1974). Zbl0292.60071MR370754
  3. 3. Dellacherie, C. et Meyer, P.A.Probabilités et potentiel (Théorie des martingales). Herman, Paris, 1980. Zbl0464.60001MR566768
  4. 4. El-Karoui, N. et Chaleyat-Maurel, M.Un problème de réflexion et ses applications au temps local et aux équations différentielles stochastiques sur R - cas continu. In: Temps Locaux, Astérisque Vol. 52/3, Soc. Math. France, 1977. 
  5. 5. Maisonneuve, B.Exit systems. Ann. Prob.3, 399-411, (1975). Zbl0311.60047MR400417
  6. 6. McGill, P.Markov properties of diffusion local time : a martingale approachAdv. Appl. Prob.14 , 789-810 (1982). Zbl0502.60062MR677557
  7. 7. McGill, P.Calculation of some conditional excursion formulae. Zeit. für Wahrscheinlichkeitstheorie61, 255-260 (1982). Zbl0495.60081MR675614
  8. 8. McGill, P.Time changes of Brownian motion and the conditional excursion theorem. In: Lect. Notes in Math.1095Springer-Verlag, Berlin and New York, 1984. Zbl0563.60074MR777515
  9. 9. McGill, P.Quelques propriétés du compemateur du processus des excursions browniennes. Comptes Rendus Acad. Sc. t. 298, Série I, no. 15357-359, (1984). Zbl0557.60068MR745015
  10. 10. Meyer, P.Flot d'une équation différentielle stochastique. In: Séminaire de Probabilités XV, 103-117, Lecture Notes in Mathematics Vol. 850 , Springer-Verlag, Berlin and New York, 1981. Zbl0461.60076MR622556
  11. 11. Stricker C. and Yor, M.Calcul stochastique dépendant d'un paramètre, Zeit. für Wahrscheinlichkeitstheorie45, 109-133 (1978). Zbl0388.60056MR510530
  12. 12. Walsh, J.B.Excursions and local time. In: Temps Locaux, Astérisque Vol. 52/3, Soc. Math. France, 1977. 
  13. 13. Walsh, J.B.Stochastic integration with respect to local time. In: Seminar on stochastic processes1982, Birkhaüser, Basel1983. Zbl0524.60074MR733675
  14. 14. Williams, D.Markov properties of Brownian local time. Bull. Amer. Math. Soc.75, 1055-56 (1969). Zbl0266.60060MR245095
  15. 15. Williams, D.Conditional excursion theory. In: Séminaire de Probabilité XIII, Lect. Notes in Math.721, Springer-Verlag, Berlin and New York, 1979. Zbl0422.60058MR544819
  16. 16. Williams, D.Diffusions, Markov processes, and martingales. Wiley, Chichester, 1979. Zbl0402.60003MR531031
  17. 17. Yamada, T. and Ogura, Y.On the strong comparison theorems for the solutions of stochastic differential equations, Zeit. für Wahrscheinlichkeitstheorie56, 3-19 (1981). Zbl0468.60056MR612157

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