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Basics of Stochastic Calculus

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Backward Stochastic Differential Equations

Part of the book series: Probability Theory and Stochastic Modelling ((PTSM,volume 86))

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Abstract

In this chapter we introduce the Brownian motion and present the basic martingale theory. The materials here can be viewed as the linear theory for the nonlinear counterparts in Chapters 3 and 4 A financial application is also included.

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Authors and Affiliations

  1. Department of Mathematics, University of Southern California, Los Angeles, CA, USA

    Jianfeng Zhang

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  1. Jianfeng Zhang
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Zhang, J. (2017). Basics of Stochastic Calculus. In: Backward Stochastic Differential Equations. Probability Theory and Stochastic Modelling, vol 86. Springer, New York, NY. https://doi.org/10.1007/978-1-4939-7256-2_2

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