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Martingales and Related Processes: Discrete Time

  • Robert S. Liptser
  • Albert N. Shiryaev
Chapter
  • 2k Downloads
Part of the Applications of Mathematics book series (SMAP, volume 5)

Abstract

Let (Ω, F, P) be a probability space, and let.F 1F 2 ⊆ ... ⊆ F N F be a nondecreasing family of sub-σ-algebras of F.

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Bibliography

Notes and References. 1

  1. 287.
    Shiryaev, A.N. (1996): Probability, 2nd edn. Springer-Verlag, Berlin Heidelberg New YorkGoogle Scholar
  2. 57.
    Doob, J.L. (1954): Stochastic Processes. Wiley, New YorkzbMATHGoogle Scholar
  3. 229.
    Meyer, P.A. (1966): Probabilités et Potentiel. Hermann, PariszbMATHGoogle Scholar
  4. 245.
    Neveu, J. (1975): Discrete Parameter Martingales. North-Holland, AmsterdamzbMATHGoogle Scholar
  5. 74.
    Gikhman, I.I. and Skorokhod, A.V. (1974): Theory of Random Processes. I. Springer-Verlag, Berlin Heidelberg New YorkzbMATHGoogle Scholar

Notes and References.2

  1. 287.
    Shiryaev, A.N. (1996): Probability, 2nd edn. Springer-Verlag, Berlin Heidelberg New YorkGoogle Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Robert S. Liptser
    • 1
  • Albert N. Shiryaev
    • 2
  1. 1.Department of Electrical Engineering SystemsTel Aviv UniversityTel AvivIsrael
  2. 2.Steklov Mathematical InstituteRussian Academy of SciencesMoscowRussia

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