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Table Of Contents

1.1. Measure theory and integration
1.2. Basic concepts of probability theory
Exercises
2.1. Filtrations and stopping times
2.2. Quadratic variation
2.5. Poisson processes
3.1. Optional Stopping
3.2. Inequalities
3.3. Local martingales and semimartingales
3.4. Quadratic variation for local martingales
3.5. Doob-Meyer decomposition
3.6. Spaces of martingales
5.1. Square-integrable martingale integrator
5.2. Local square-integrable martingale integrator
5.3. Semimartingale integrator
5.4. Further properties of stochastic integrals
5.5. Integrator with absolutely continuous Dol´eans measure
6.1. Quadratic variation
6.2. Itˆo’s formula
6.3. Applications of Itˆo’s formula
7.1. Examples of stochastic equations and solutions
7.2. Existence and uniqueness for a semimartingale equation
7.3. Proof of the existence and uniqueness theorem
A.1. Continuous, cadlag and BV functions
A.2. Differentiation and integration
B.1. General matters
B.2. Construction of Brownian motion
Bibliography
Index
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martingale

martingale

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Published by Adrian Tiuca

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Published by: Adrian Tiuca on Mar 26, 2011
Copyright:Attribution Non-commercial

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