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A martingale characterization of the set-indexed Brownian motion

โœ Scribed by B. Gail Ivanoff; Ely Merzbach


Book ID
112712945
Publisher
Springer US
Year
1996
Tongue
English
Weight
481 KB
Volume
9
Category
Article
ISSN
0894-9840

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The note concerns the structure of the Brownian excursion filtration (C ~, xeR). This filtration, indexed by the space variable, has infinite martingale dimension. We show how it can be characterised by the martingale properties of the reflecting Brownian local time. The problem examined here has i