Introduction to Stochastic Differential Calculus

  • Paul-André Meyer
Conference paper


We present an introduction to the recent work on the theory of semimartingales and the stochastic integrals.

This exposition has the goal of explaining the fundamental ideas of stochastic differential calculus by showing how it involves at the foundations a very simple and manageable theory. We have tried to avoid the notion of stopping time, which is some-what difficult to grasp for non professional audience. This forces us to slightly change the accepted terminology so that the words which have a special meaning in this lecture are written with an asterix (*) the first time they appear, for which a short appendix at the end make clear their relation with the usual expression.


Stochastic Differential Equation Continuous Process Wiener Process Langevin Equation Stochastic Integral 


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Copyright information

© Springer-Verlag/Wien 1980

Authors and Affiliations

  • Paul-André Meyer
    • 1
  1. 1.Deptartment of MathematicsUniversity Louis PasteurStrasbourgFrance

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