A Review of Continuous-Time Stochastic Calculus

  • Robert J. Elliott
  • P. Ekkehard Kopp
Part of the Springer Finance book series (FINANCE)


In this and the succeeding chapters the time parameter takes values in either a finite interval [0, T] or the infinite intervals [0, ∞), [0, ∞]. We denote the time parameter set by 𝕋 in each case.


Brownian Motion Probability Space Stochastic Differential Equation Simple Process Standard Brownian Motion 
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Copyright information

© Springer Science+Business Media New York 1999

Authors and Affiliations

  • Robert J. Elliott
    • 1
  • P. Ekkehard Kopp
    • 2
  1. 1.Department of Mathematical SciencesUniversity of AlbertaEdmontonCanada
  2. 2.Pro-Vice-Chancellors’ OfficeThe University of HullHullUK

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