Continuous Time Normal Martingales

  • Nicolas PrivaultEmail author
Part of the Lecture Notes in Mathematics book series (LNM, volume 1982)


This chapter is concerned with the basics of stochastic calculus in continuous time. In continuation of Chapter 1 we keep considering the point of view of normal martingales and structure equations, which provides a unified treat- ment of stochastic integration and calculus that applies to both continuous and discontinuous processes. In particular we cover the construction of single and multiple stochastic integrals with respect to normal martingales and we discuss other classical topics such as quadratic variations and the Itˆo formula


Brownian Motion Poisson Process Quadratic Variation Representation Property Stochastic Integral 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.Department of MathematicsCity University of Hong KongHong Kong P.R. China

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