Brownian motion, martingales, and stochastic calculus

DOI10.1007/978-3-319-31089-3zbMATH Open1378.60002OpenAlexW2365574823MaRDI QIDQ2798413FDOQ2798413

Authors: J.-F. Le Gall 

Publication date: 12 April 2016

Published in: Graduate Texts in Mathematics (Search for Journal in Brave)

Full work available at URL: https://zenodo.org/record/4461775

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zbMATH Keywords

Markov processstochastic differential equationBrownian motionsemimartingalestopping timelocal timefiltrationsample pathsGirsanov's theoremstochastic calculusmartingale, supermartingaleItô formula

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Generalizations of martingales (60G48) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)

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