Skip to main content

Stochastic Processes

  • Chapter
  • First Online:

Part of the book series: SpringerBriefs in Quantitative Finance ((BRIEFFINANCE))

Abstract

We recall classical facts from the theory of stochastic processes, which will play an important role in the following chapters. We pay special attention to projections and dual projections which are essential for the study of random times. References for the recalled results are given in bibliographic notes at the end of the chapter.

This is a preview of subscription content, log in via an institution.

Buying options

Chapter
USD   29.95
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
eBook
USD   29.99
Price excludes VAT (USA)
  • Available as EPUB and PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book
USD   39.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Purchases are for personal use only

Learn about institutional subscriptions

Notes

  1. 1.

    In French, right-continuous is continu à droite, and with left-limits is admettant des limites à gauche. We shall also use càd for right-continuous and càglàd for left-continuous with right-limits. The use of these acronyms comes from P.-A. Meyer.

  2. 2.

    H comes from Hardy.

  3. 3.

    Class (D) is in honor of Doob.

  4. 4.

    In other terms, \(V^p\) is the compensator of V, with \(V^p_{0-}=0\).

  5. 5.

    A process X is a sigma-martingale if there exists a martingale Y and an Y-integrable predictable non-negative process \(\varphi \) such that \(X=\varphi \varvec{\cdot }Y\). A local martingale is a sigma-martingale.

Author information

Authors and Affiliations

Authors

Corresponding author

Correspondence to Anna Aksamit .

Rights and permissions

Reprints and permissions

Copyright information

© 2017 The Author(s)

About this chapter

Check for updates. Verify currency and authenticity via CrossMark

Cite this chapter

Aksamit, A., Jeanblanc, M. (2017). Stochastic Processes. In: Enlargement of Filtration with Finance in View. SpringerBriefs in Quantitative Finance. Springer, Cham. https://doi.org/10.1007/978-3-319-41255-9_1

Download citation

Publish with us

Policies and ethics