The space of cad-lag martingales convergent in L2 has a Hilbert space structure which allows a simple study to be made of it. We introduce a notion of stochastic integral generalizing that of Chapter 6. This integral is an isometry analogous to the spectral process of second order stationary processes introduced in Chapter 1.
KeywordsBrownian Motion Point Process Stochastic Differential Equation Stochastic Integral Stochastic Calculus
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