| Título: | Filtered Azéma martingales |
| Autores: | Çetin, Umut; London School of Economics and Political Science |
| Fecha: | 2012-01-02 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: | Peer-reviewed Article |
| Tema: |
Azéma's martingale; excursions of Brownian motion; skew Brownian motion; optional projection; local times 60G35; 60J55; 60H10 |
| Descripción: | We study the optional projection of a standard Brownian motion on the natural filtration of certain kinds of observation processes. The observation process, $Y$, is defined as a solution of a stochastic differential equation such that it reveals some (possibly noisy) information about the signs of the Brownian motion when $Y$ hits $0$. As such, the associated optional projections are related to Azéma's martingales which are obtained by projecting the Brownian motion onto the filtration generated by observing its signs. |
| Idioma: | Inglés |
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