Abstract
This chapter is concerned with the basics of stochastic calculus in continuous time. In continuation of Chapter 1 we keep considering the point of view of normal martingales and structure equations, which provides a unified treat- ment of stochastic integration and calculus that applies to both continuous and discontinuous processes. In particular we cover the construction of single and multiple stochastic integrals with respect to normal martingales and we discuss other classical topics such as quadratic variations and the Itˆo formula
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© 2009 Springer-Verlag Berlin Heidelberg
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Privault, N. (2009). Continuous Time Normal Martingales. In: Stochastic Analysis in Discrete and Continuous Settings. Lecture Notes in Mathematics(), vol 1982. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02380-4_3
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DOI: https://doi.org/10.1007/978-3-642-02380-4_3
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-02379-8
Online ISBN: 978-3-642-02380-4
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