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Real semimartingales and stochastic integrals

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

Abstract

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.

Keywords

Stochastic Differential Equation Variable Formula Quadratic Variation Stochastic Integral Stochastic Calculus 
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-Verlag Berlin Heidelberg 1989

Authors and Affiliations

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

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