Abstract
The aim of this appendix is to provide all necessary definition and results with respect to Martingales and stochastic integration. Since some of the underlying properties and theorems require a lot of advanced mathematics, we do not aim to proof the different theorems. For valuable literature we refer to (Protter 1990) and (Ikeda and Watanabe 1981).
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References
N. Ikeda and S. Watanabe. Stochastic Differential Equations and Diffusion Processes. North-Holland, 1981.
P. Protter. Stochastic Integration and Differential Equations, volume 21 of Applications of Mathematics. Springer, 1990.
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Koller, M. (2011). An Introduction to Stochastic Integration. In: Life Insurance Risk Management Essentials. EAA Series. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-20721-1_20
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DOI: https://doi.org/10.1007/978-3-642-20721-1_20
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