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Stochastic integration and discontinuous martingales

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Stochastic Integrals

Part of the book series: Lecture Notes in Mathematics ((LNM,volume 851))

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References

  1. M.H.A. DAVIS, The representation of martingales of a jump process. S.I.A.M. Jour. of Control 14 (1976), 623–638.

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  2. C. DELLACHERIE, Capacités et processus stochastiques, Springer-Verlag. Berlin, Heidelberg, New York 1972.

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  3. R.J. ELLIOTT, Innovation projections of a jump process and local martingales. Proc. Camb. Phil. Soc. 81(1977), 77–90.

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  4. J. JACOD, Calcul stochastique et problèmes de martingales. Lecture notes in mathematics 714 Springer-Verlag. Berlin, Heidelberg, New York 1979.

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  5. P.A. MEYER, Un cours sur les intégrales stochastiques. Lecture notes in mathematics 511, Springer-Verlag. Berlin, Heidelberg, New York. 1976.

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Authors
  1. Robert J. Elliott
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David Williams

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© 1981 Springer-Verlag

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Elliott, R.J. (1981). Stochastic integration and discontinuous martingales. In: Williams, D. (eds) Stochastic Integrals. Lecture Notes in Mathematics, vol 851. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0088723

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  • DOI: https://doi.org/10.1007/BFb0088723

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-10690-6

  • Online ISBN: 978-3-540-38613-1

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