Continuity of martingales in the Brownian excursion filtration (Q1087245)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Continuity of martingales in the Brownian excursion filtration |
scientific article |
Statements
Continuity of martingales in the Brownian excursion filtration (English)
0 references
1987
0 references
Given a Brownian motion B, we consider the filtration (\({\mathcal E}_ x)_{x\in R}\), where \({\mathcal E}_ x\) is defined as the \(\sigma\)-field generated by the excursions of B below x. In this paper we prove a conjecture by J. B. Walsh which says that all \({\mathcal E}\)-martingales are continuous.
0 references
excursion filtration
0 references
Brownian motion
0 references