Real semimartingales and stochastic integrals

  • Michel Emery
Part of the Universitext book series (UTX)


The usual setup for the general theory of processes is a complete probability space (Ω,ℱ,ℙ) endowed with a filtration ( t )t ≥0: each tis a sub-σ-field of , contains all negligible events in and t =∩ε>0 t+ε ; this equality says that t t is increasing and right-continuous. Increasingness is the main point; the other conditions are mere technical assumptions. Removing them is possible, but rarely useful, and makes some results heavier.


Stochastic Differential Equation Variable Formula Quadratic Variation Stochastic Integral Stochastic Calculus 
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Copyright information

© Springer-Verlag Berlin Heidelberg 1989

Authors and Affiliations

  • Michel Emery
    • 1
  1. 1.UER de Mathématiques et InformatiqueUniversité Louis PasteurStrasbourg CedexFrance

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