Filtered Azéma martingales

DOI10.1214/ECP.V17-2310zbMath1317.60049arXiv1209.3180MaRDI QIDQ743407

Umut Çetin

Publication date: 24 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.3180

zbMATH Keywords

stochastic differential equationlocal timesoptional projectionstandard Brownian motionAzéma martingales

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Signal detection and filtering (aspects of stochastic processes) (60G35) Martingales with continuous parameter (60G44) Local time and additive functionals (60J55)

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La martingale d’Azéma

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