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Predictable Increasing Processes

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Part of the Indian Statistical Institute Series book series (INSIS)

Abstract

We have discussed predictable \(\sigma \)-field and seen the crucial role played by predictable integrands in the theory of stochastic integration. In our treatment of the integration, we have so far suppressed another role played by predictable processes. In the decomposition of semimartingales, Theorem  5.55, the process A with finite variation paths turns out to be a predictable process. Indeed, this identification played a major part in the development of the theory of stochastic integration.

Keywords

Stochastic Integral Semimartingale Predictable Stopping Time Doob-Meyer Decomposition Local Martingale 
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.

Copyright information

© Springer Nature Singapore Pte Ltd. 2018

Authors and Affiliations

  1. 1.Chennai Mathematical InstituteKelambakkamIndia
  2. 2.Chennai Mathematical InstituteKelambakkamIndia

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