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Martingales and related processes in discrete and continuous time. Stopping times

  • Dmytro Gusak
  • Alexander Kukush
  • Alexey Kulik
  • Yuliya Mishura
  • Andrey Pilipenko
Chapter
Part of the Problem Books in Mathematics book series (PBM)

Abstract

Below in this chapter we denote the discrete-time processes as X n , M n , and so on (with the lower index as time) and continuous-time processes, as before, are denoted as X(t), M(t), and so on (the time index is inside the parentheses).

Keywords

Wiener Process Local Martingale Uniform Integrability Natural Filtration Integrable 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 Science+Business Media, LLC 2010

Authors and Affiliations

  • Dmytro Gusak
    • 1
  • Alexander Kukush
    • 2
  • Alexey Kulik
    • 1
  • Yuliya Mishura
    • 3
  • Andrey Pilipenko
    • 1
  1. 1.Institute of Mathematics of Ukrainian National Academy of SciencesKyivUkraine
  2. 2.Department of Mathematical Analysis Faculty of Mechanics and MathematicsNational Taras Shevchenko University of KyivKyivUkraine
  3. 3.Department of Probability Theory and Mathematical Statistics Faculty of Mechanics and MathematicsNational Taras Shevchencko University of KyivKyivUkraine

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