Stochastic Integrals

  • Martin Jacobsen
Part of the Lecture Notes in Statistics book series (LNS, volume 12)


Before coming to the discussion of stochastic integrals, it will be useful to introduce some terminology from the general theory of stochastic processes. Some of the concepts have been defined earlier in these notes. We shall repeat the definitions for the sake of completeness.


Sample Path Local Martingale Predictable Process Optional Sampling Martingale Convergence Theorem 
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Copyright information

© Springer-Verlag New York Inc. 1982

Authors and Affiliations

  • Martin Jacobsen
    • 1
  1. 1.Institute of Mathematical StatisticsUniversity of CopenhagenCopenhagen ØDenmark

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