Une propriété des martingales pures

Jacques Azéma; Catherine Rainer; Marc Yor

Séminaire de probabilités de Strasbourg (1996)

  • Volume: 30, page 243-254

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Azéma, Jacques, Rainer, Catherine, and Yor, Marc. "Une propriété des martingales pures." Séminaire de probabilités de Strasbourg 30 (1996): 243-254. <http://eudml.org/doc/113931>.

@article{Azéma1996,
author = {Azéma, Jacques, Rainer, Catherine, Yor, Marc},
journal = {Séminaire de probabilités de Strasbourg},
keywords = {pure martingales; slow filtration; extremal martingales; Brownian motion; time change},
language = {fre},
pages = {243-254},
publisher = {Springer - Lecture Notes in Mathematics},
title = {Une propriété des martingales pures},
url = {http://eudml.org/doc/113931},
volume = {30},
year = {1996},
}

TY - JOUR
AU - Azéma, Jacques
AU - Rainer, Catherine
AU - Yor, Marc
TI - Une propriété des martingales pures
JO - Séminaire de probabilités de Strasbourg
PY - 1996
PB - Springer - Lecture Notes in Mathematics
VL - 30
SP - 243
EP - 254
LA - fre
KW - pure martingales; slow filtration; extremal martingales; Brownian motion; time change
UR - http://eudml.org/doc/113931
ER -

References

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  1. [AMY] Azéma J., Meyer P.A., Yor M. (1992): Martingales relatives, Sém. Prob. XXVI, LNM1526, p.307-321. Zbl0765.60037MR1232000
  2. [AR] Azéma J., Rainer C. (1994): Sur l'Equation de Structure "d[X, X]t = dt - X+t-dXt", Sém. Prob. XXVIII, LNM1583, p.236-255. Zbl0824.60047MR1329116
  3. [AY] Azéma J., Yor M. (1992): Sur les zéros des martingales continues, Sém. Prob. XXVI, LNM1526, p.248-306. Zbl0765.60038MR1231999
  4. [BPY] Barlow M.T., Pitman J.W., Yor M. (1980): On Walsh's Brownian Motion, Sém. Prob. XXIII, LNM1372, p.275-293. Zbl0747.60072MR1022917
  5. [Da] Dambis K.E. (1965): On the decomposition of continuous martingales, Theor.Prob.Appl.10, p.401-410. Zbl0141.15102MR202179
  6. [DuS1] Dubins L., Schwarz G. (1965): On continuous martingales, Proc.Nat.Acad.Sci.USA53, p.913-916. Zbl0203.17504MR178499
  7. [DuS2] Dubins L., Schwarz G. (1967): On extremal martingales distributions, Proc.Fifth Berkeley Symp.2(1), p.295-297. Zbl0233.60045MR216557
  8. [EM] El Karoui N., Meyer P.A. (1977): Les changements de temps en théorie générale des processus, Sém. Prob. XI, LNM581, p.65-78. Zbl0433.60036MR488246
  9. [J] Jeulin T. (1980): Semimartingales et grossissement de filtration, LNM833, Springer . Zbl0444.60002MR604176
  10. [LR] Lindvall T., Rogers L.C.G. (1986): Coupling of multidimensional diffusions by reflection, Ann. Prob.14, p. 860-872. Zbl0593.60076MR841588
  11. [ReY] Revuz D., Yor M. (1991): Continuous Martingales and Brownian Motion, Grundlehren der math. Wiss.293, Springer. Zbl0731.60002MR1083357
  12. [RoW] Rogers L.C.G., Williams D. (1987): Diffusions, Markov Processes and Martingales, vol.2, John Wiley and Sons. Zbl0627.60001MR921238
  13. [SY] 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
  14. [Y] Yor M. (1979): Sur l'étude des martingales continues extrémales, Stochastics, vol.2.3. p.191-196 Zbl0409.60043MR528910

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