Stochastic integration without tears

DOI10.1080/17442508608833378zbMath0597.60040OpenAlexW1803361458MaRDI QIDQ3730732

Philip E. Protter

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833378

zbMATH Keywords

semimartingalesstochastic calculuschange of variables formulasubmartingale decomposition

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Related Items (2)

Pathwise stochastic integration and applications to the theory of continuous trading ⋮ Quadratic covariant and Stratonovich integral

Cites Work

• Un survol de la théorie de l'intégrale stochastique
• Stochastic integration and \(L^ p-\)theory of semimartingales
• Semimartingales: A course on stochastic processes
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