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Random Times and Enlargement...Roger Mansuy, Marc YorIn November 2004, M. Yor and R. Mansuy jointly gave six lectures at Columbia University, New York. These notes follow the contents of that course, covering expansion of filtration formulae; BDG inequalities up to any random time; martingale… more |
Random Times and Enlargements of Filtrations in a Brownian Setting (Lecture Notes in Mathematics) |