Abstract
Historically, in mathematical finance, continuous-time processes have been considered from the very beginning, e.g., Bachelier [39, 41] deals with Brownian motion, which has continuous paths. This may justify making our starting point in this book to deal with continuous-path random processes, for which, in this first chapter, we recall some well-known facts. We try to give all the definitions and to quote all the important facts for further use. In particular, we state, without proofs, results on stochastic calculus, change of probability and stochastic differential equations.
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© 2009 Springer-Verlag London
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Jeanblanc, M., Yor, M., Chesney, M. (2009). Continuous-Path Random Processes: Mathematical Prerequisites. In: Mathematical Methods for Financial Markets. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-84628-737-4_1
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DOI: https://doi.org/10.1007/978-1-84628-737-4_1
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Publisher Name: Springer, London
Print ISBN: 978-1-84882-819-3
Online ISBN: 978-1-84628-737-4
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