A martingale characterisation of the Brownian excursion compensator (Q760714)
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scientific article; zbMATH DE number 3885077
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A martingale characterisation of the Brownian excursion compensator |
scientific article; zbMATH DE number 3885077 |
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A martingale characterisation of the Brownian excursion compensator (English)
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1986
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The note concerns the structure of the Brownian excursion filtration (\({\mathcal E}^ x\), \(x\in R)\). 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.
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infinite martingale dimension
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reflecting Brownian local time
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