Skip to main content

Continuous Time Normal Martingales

Part of the Lecture Notes in Mathematics book series (LNM,volume 1982)

Abstract

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

Keywords

  • Brownian Motion
  • Poisson Process
  • Quadratic Variation
  • Representation Property
  • Stochastic Integral

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.

This is a preview of subscription content, access via your institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   39.99
Price excludes VAT (Canada)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   54.99
Price excludes VAT (Canada)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Nicolas Privault .

Rights and permissions

Reprints and Permissions

Copyright information

© 2009 Springer-Verlag Berlin Heidelberg

About this chapter

Cite this chapter

Privault, N. (2009). Continuous Time Normal Martingales. In: Stochastic Analysis in Discrete and Continuous Settings. Lecture Notes in Mathematics(), vol 1982. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02380-4_3

Download citation