Stochastic Integrals

  • Didier Dacunha-Castelle
  • Marie Duflo


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.


Brownian Motion Point Process Stochastic Differential Equation Stochastic Integral Stochastic Calculus 
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Copyright information

© Springer-Verlag New York Inc. 1986

Authors and Affiliations

  • Didier Dacunha-Castelle
    • 1
  • Marie Duflo
    • 2
  1. 1.Equipe de Recherche Associée au C.N.R.S. 532 Statistique Appliqué MathématiqueUniversité de Paris-SudOrsay CedexFrance
  2. 2.Université de Paris-NordVilletaneuseFrance

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