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
    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

    Identifiers