Stochastic Processes in Continuous Time

  • Nicholas H. Bingham
  • Rüdiger Kiesel
Part of the Springer Finance book series (FINANCE)

Abstract

The underlying set-up is as in Chapter 3: we need a complete probability space (Ω, ℱ, ℙ), equipped with a filtration, i.e a nondecreasing family F = (F t ) t≥0 of sub-σ-fileds of F: F s F t F for 0 ≤ s ≤ t ≤ ∞; here F t represents the information available at time t, and the filtration (F t ) represents the information flow evolving with time.

Keywords

Filtration Covariance Dition Volatility Suspen 

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Copyright information

© Springer-Verlag London 1998

Authors and Affiliations

  • Nicholas H. Bingham
    • 1
  • Rüdiger Kiesel
    • 1
  1. 1.Birkbeck CollegeUniversity of LondonLondonUK

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