Martingales and stochastic integrals
P. E. Kopp.
Cambridge : Cambridge University Press, 1984.
xi, 202 págs. : ilustraciones ; 24 cm.
ISBN: 0521247586
"Text has grown out of graduate lecture courses given at the University of Hull"—Preface.
Bibliografía: p. 194-197.
Reseña: MathSciNet, 86i:60004
Contenido
- 0. Probabilistic background
- 1. Weak compactness and uniform integrability
- 2. Discrete time martingales
- 3. Continuous-time martingales
- 4. Stochastic integrals.