Continuous Time Normal Martingales
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Related Research Unit(s)
Detail(s)
| Original language | English |
|---|---|
| Title of host publication | Stochastic Analysis in Discrete and Continuous Settings |
| Subtitle of host publication | With Normal Martingales |
| Publisher | Springer-Verlag Berlin Heidelberg |
| Chapter | 2 |
| Pages | 59-112 |
| ISBN (electronic) | 9783642023804 |
| ISBN (print) | 9783642023798 |
| Publication status | Published - 2009 |
Publication series
| Name | Lecture Notes in Mathematics |
|---|---|
| Publisher | Springer-Verlag Berlin Heidelberg |
| Volume | 1982 |
| ISSN (Print) | 0075-8434 |
| ISSN (electronic) | 1617-9692 |
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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 treatment 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 Itô formula.
Citation Format(s)
Continuous Time Normal Martingales. / Privault, Nicolas.
Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales. Springer-Verlag Berlin Heidelberg, 2009. p. 59-112 (Lecture Notes in Mathematics; Vol. 1982).
Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales. Springer-Verlag Berlin Heidelberg, 2009. p. 59-112 (Lecture Notes in Mathematics; Vol. 1982).
Research output: Chapters, Conference Papers, Creative and Literary Works › Chapter in research book/monograph/textbook (Author) › peer-review
