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Continuity of martingales in the Brownian excursion filtration

✍ Scribed by L. C. G. Rogers

Book ID
105148471
Publisher
Springer
Year
1987
Tongue
English
Weight
342 KB
Volume
76
Category
Article
ISSN
1432-2064

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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