Part of the Universitext book series (UTX)

One of the most important concepts of modern probability theory is the martingale, which formalises the notion of a fair game. In this chapter, we first lay the foundations for the treatment of general stochastic processes. We then introduce martingales and the discrete stochastic integral. We close with an application to a model from mathematical finance.


Trading Strategy Contingent Claim Preceding Theorem Fair Price Predictable Process 
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© Springer-Verlag London Limited 2008

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