Review: D. Revuz, M. Yor, Continuous Martingales and Brownian Motion
نویسندگان
چکیده
منابع مشابه
The Azéma-Yor Embedding in Brownian Motion with Drift
x e 2 t dF (t) (x2 IR) and we set h (s) = 1 for s C . This settles the question raised in [6]. In addition, it is proved that is pointwise the smallest possible stopping time satisfying (B + ) which generates stochastically the largest possible maximum of the process (Bt+ t)t 0 up to the time of stopping. This minimax property characterizes uniquely. The result recovers the Azéma-Yor solution o...
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ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1993
ISSN: 0091-1798
DOI: 10.1214/aop/1176989417