Stochastic integration and discontinuous martingales

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


Random Measure Stochastic Integration Local Martingale Finite Variation Predictable Process 
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    M.H.A. DAVIS, The representation of martingales of a jump process. S.I.A.M. Jour. of Control 14 (1976), 623–638.zbMATHGoogle Scholar
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    C. DELLACHERIE, Capacités et processus stochastiques, Springer-Verlag. Berlin, Heidelberg, New York 1972.zbMATHGoogle Scholar
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    R.J. ELLIOTT, Innovation projections of a jump process and local martingales. Proc. Camb. Phil. Soc. 81(1977), 77–90.MathSciNetCrossRefzbMATHGoogle Scholar
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    J. JACOD, Calcul stochastique et problèmes de martingales. Lecture notes in mathematics 714 Springer-Verlag. Berlin, Heidelberg, New York 1979.zbMATHGoogle Scholar
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    P.A. MEYER, Un cours sur les intégrales stochastiques. Lecture notes in mathematics 511, Springer-Verlag. Berlin, Heidelberg, New York. 1976.zbMATHGoogle Scholar

Copyright information

© Springer-Verlag 1981

Authors and Affiliations

  • Robert J. Elliott

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