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Martingales

  • Paolo Baldi
Chapter
Part of the Universitext book series (UTX)

Abstract

Martingales are stochastic processes that enjoy many important, sometimes surprising, properties. When studying a process X, it is always a good idea to look for martingales “associated” to X, in order to take advantage of these properties.

References

  1. Karatzas, I. and Shreve, S. (1991). Brownian Motion and Stochastic Calculus, 2nd edition. Springer, Berlin, Heidelberg, New York.Google Scholar
  2. Neveu, J. (1964). Bases Mathématiques du Calcul des Probabilités. Masson et Cie.Google Scholar
  3. Revuz, D. and Yor, M. (1999). Continuous martingales and Brownian motion, volume 293 of Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences]. Springer-Verlag, Berlin, third edition.Google Scholar

Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  • Paolo Baldi
    • 1
  1. 1.Dipartimento di MatematicaUniversità di Roma “Tor Vergata”RomaItaly

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