Concepedia

Brownian Filtration

Brownian Filtration is a stochastic process filtration defined as the smallest complete right-continuous filtration generated by a Brownian motion, distinguishing itself by embodying the cumulative information available up to each time point in the evolution of the Brownian path.

31

Publications

899

Citations

64

Authors

40

Institutions

Publications per year

2017–2026

0

Variants

Natural Filtration Of Brownian Motion

Parents

Publications

31

Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets

Robert M. Anderson, Roberto Raimondo · Econometrica · 2008 · 108 citations

, , +16

Triple Points: From Non-Brownian Filtrations to Harmonic Measures

Boris Tsirelson · Geometric and Functional Analysis · 1997 · 65 citations

, , +15

Active Brownian particles and run-and-tumble particles separate inside a maze

Maryam Khatami, Katrin Wolff, Oliver Pohl et al. · Scientific Reports · 2016 · 61 citations · Full text

, , +14

A Characterization of Complete Security Markets On A Brownian Filtration<sup>1</sup>

Robert A. Jarrow, Dilip B. Madan · Mathematical Finance · 1991 · 61 citations

, , +16

Optimal investment under multiple defaults risk: A BSDE-decomposition approach

Ying Jiao, Idris Kharroubi, Huyên Pham · The Annals of Applied Probability · 2013 · 60 citations · Full text

, , +17

1–5 of 31

Authors

64

  1. BT
    Boris Tsirelson

    Tel Aviv University, Israel

    2 publications · 105 citations

    2

    h-index

  2. LC
    L. C. G. Rogers

    University of Cambridge, United Kingdom

    2 publications · 59 citations

    2

    h-index

  3. MJ
    Monique Jeanblanc

    Université d'Évry Val-d'Essonne, France

    1 publications · 17 citations

    1

    h-index

  4. OP
    Oliver Pohl

    Institute for Complex Systems, Italy

    1 publications · 61 citations

    1

    h-index

  5. SK
    Shigeo Kusuoka

    Kyoto University, Japan

    1 publications · 12 citations

    1

    h-index

1–5 of 64

Institutions

40

  1. Cornell University

    Ithaca, United States

    2 h-index

    2 publications

    74 citations

  2. Technische Universität Berlin

    Berlin, Germany

    2 h-index

    5 publications

    259 citations

  3. University of California, Berkeley

    Berkeley, United States

    2 h-index

    4 publications

    228 citations

  4. Université d'Évry Val-d'Essonne

    Évry-Courcouronnes, France

    2 h-index

    4 publications

    66 citations

  5. ENSAE Paris

    Palaiseau, France

    1 h-index

    3 publications

    180 citations

  6. National University of Singapore

    Singapore, Singapore

    1 h-index

    1 publications

    108 citations

  7. Texas A&M University

    College Station, United States

    1 h-index

    1 publications

    21 citations

  8. The University of Melbourne

    Melbourne, Australia

    1 h-index

    1 publications

    108 citations

1–8 of 40

Venues

  1. The Annals of Probability

    3 publications · 105 citations

    3

    h-index

  2. Electronic Communications in Probability

    ECP · 2 publications · 32 citations

    2

    h-index

  3. Chemical Engineering Science

    2 publications · 27 citations

    2

    h-index

  4. The Annals of Applied Probability

    2 publications · 73 citations

    2

    h-index

  5. Geometric and Functional Analysis

    GAFA · 2 publications · 76 citations

    2

    h-index

1–5