A martingale characterisation of the Brownian excursion compensator (Q760714)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | A martingale characterisation of the Brownian excursion compensator |
scientific article |
Statements
A martingale characterisation of the Brownian excursion compensator (English)
0 references
1986
0 references
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.
0 references
infinite martingale dimension
0 references
reflecting Brownian local time
0 references
0 references