Martingales and some applications (Q2734978)
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scientific article; zbMATH DE number 1640005
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Martingales and some applications |
scientific article; zbMATH DE number 1640005 |
Statements
5 May 2002
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martingale concepts and inequalities
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convergence theorems
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martingale calculus
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exponential semi-martingales
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likelihood ratios
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financial market models
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multiparameter extensions
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Martingales and some applications (English)
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The paper provides a survey of the theory of martingales and gives a number of applications. One way to summarize the paper is via the eight section headings -- Introduction, Martingale concepts and inequalities, Convergence theorems, Elements of (semi)martingale calculus, An application to likelihood ratios, Exponential (semi)martingales, Applications to financial market models, Remarks on multiparameter extensions and other extensions. A list of 45 (or so) references concludes the paper.NEWLINENEWLINEFor the entire collection see [Zbl 0961.60001].
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