Martingales and semimartingales: continuous time

  • R. S. Liptser
  • A. N. Shiryayev
Part of the Applications of Mathematics book series (SMAP, volume 5)

Abstract

Let (Ω, , P) be a probability space and let F = (ℱ t ), t ≥ 0, be a non-decreasing family of sub-σ-algebras of .

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Notes and references

  1. [126]
    Meyer P. A., Probabilitiés et Potentiel. Herman, Paris, 1966.Google Scholar
  2. [46]
    Doob J. L., Probability Processes. Russian transi., IL. Moscow, 1956.Google Scholar
  3. [137]
    Rao, C. M., On decomposition theorems of Meyer. Math. Scandinavica 24, 1 (1969), 66–78.MATHGoogle Scholar

Copyright information

© Springer Science+Business Media New York 1977

Authors and Affiliations

  • R. S. Liptser
    • 1
  • A. N. Shiryayev
    • 2
  1. 1.Institute for Problems of Control TheoryMoscowUSSR
  2. 2.Institute of Control SciencesMoscowUSSR

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