Abstract
We present an introduction to the recent work on the theory of semimartingales and the stochastic integrals.
This exposition has the goal of explaining the fundamental ideas of stochastic differential calculus by showing how it involves at the foundations a very simple and manageable theory. We have tried to avoid the notion of stopping time, which is some-what difficult to grasp for non professional audience. This forces us to slightly change the accepted terminology so that the words which have a special meaning in this lecture are written with an asterix (*) the first time they appear, for which a short appendix at the end make clear their relation with the usual expression.
This lecture is taken from Libero homenajo al Prof. Dr. D. Alfonso Guiraùm Martin, Universidad de Granda, Departamento de Estadistica, February 1979, with the kind permission of the University of Granada.
Translated from the French by Ph. Blanchard and D.E. Miller.
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Meyer, PA. (1980). Introduction to Stochastic Differential Calculus. In: Streit, L. (eds) Quantum Fields — Algebras, Processes. Springer, Vienna. https://doi.org/10.1007/978-3-7091-8598-8_2
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