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A Review of Continuous-Time Stochastic Calculus

  • Robert J. Elliott
  • P. Ekkehard Kopp
Part of the Springer Finance book series (FINANCE)

Abstract

In this and the succeeding chapters the time parameter takes values in either a finite interval [0, T] or the infinite intervals [0, ∞), [0, ∞]. We denote the time parameter set by 𝕋 in each case.

Keywords

Brownian Motion Probability Space Stochastic Differential Equation Simple Process Standard Brownian Motion 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Robert J. Elliott
    • 1
  • P. Ekkehard Kopp
    • 2
  1. 1.Department of Mathematical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Pro-Vice-Chancellors’ OfficeThe University of HullHullUK

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