Un survol de la théorie de l'intégrale stochastique

DOI10.1016/0304-4149(80)90017-4zbMath0436.60043OpenAlexW4213377612MaRDI QIDQ1140924

Claude Dellacherie

Publication date: 1980

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(80)90017-4

zbMATH Keywords

semimartingalesstochastic differential equationsstochastic integralsIto's formula

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

Related Items (10)

Stochastic integration without tears ⋮ A note on stochastic integrators ⋮ From Markov processes to semimartingales ⋮ Pathwise stochastic integration and applications to the theory of continuous trading ⋮ Martingales and stochastic integrals in the theory of continuous trading ⋮ A direct proof of the Bichteler-Dellacherie theorem and connections to arbitrage ⋮ Forward-convex convergence in probability of sequences of nonnegative random variables ⋮ One modification of the martingale transform and its applications to paraproducts and stochastic integrals ⋮ Information structure and equilibrium asset prices ⋮ Stochastic integrals on general topological measurable spaces

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