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Martingales and Related Processes: Continuous Time

  • Robert S. Liptser
  • Albert N. Shiryaev
Chapter
  • 2.1k Downloads
Part of the Applications of Mathematics book series (SMAP, volume 5)

Abstract

Let (Ω, F, P) be a probability space and let F = (F t ), t ≥ 0, be a nondecreasing family of sub-σ-algebras of F.

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Bibliography

Notes and References. 1

  1. 229.
    Meyer, P.A. (1966): Probabilités et Potentiel. Hermann, PariszbMATHGoogle Scholar
  2. 57.
    Doob, J.L. (1954): Stochastic Processes. Wiley, New YorkzbMATHGoogle Scholar
  3. 259.
    Rao, C.M. (1969): On decomposition theorems of Meyer. Math. Scand. 24, 1, 66 - 78MathSciNetzbMATHGoogle 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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