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Stochastic integration and discontinuous martingales

  • Robert J. Elliott
Introductory Articles
Part of the Lecture Notes in Mathematics book series (LNM, volume 851)

Keywords

Random Measure Stochastic Integration Local Martingale Finite Variation Predictable Process 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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References

  1. 1.
    M.H.A. DAVIS, The representation of martingales of a jump process. S.I.A.M. Jour. of Control 14 (1976), 623–638.MATHGoogle Scholar
  2. 2.
    C. DELLACHERIE, Capacités et processus stochastiques, Springer-Verlag. Berlin, Heidelberg, New York 1972.MATHGoogle Scholar
  3. 3.
    R.J. ELLIOTT, Innovation projections of a jump process and local martingales. Proc. Camb. Phil. Soc. 81(1977), 77–90.MathSciNetCrossRefMATHGoogle Scholar
  4. 4.
    J. JACOD, Calcul stochastique et problèmes de martingales. Lecture notes in mathematics 714 Springer-Verlag. Berlin, Heidelberg, New York 1979.MATHGoogle Scholar
  5. 5.
    P.A. MEYER, Un cours sur les intégrales stochastiques. Lecture notes in mathematics 511, Springer-Verlag. Berlin, Heidelberg, New York. 1976.MATHGoogle Scholar

Copyright information

© Springer-Verlag 1981

Authors and Affiliations

  • Robert J. Elliott

There are no affiliations available

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