scientific article; zbMATH DE number 6478243

MaRDI QIDQ2943523zbMATH OpenFDO

Authors A. A. Gushchin

Publication date 3 September 2015

zbMATH Keywords

martingalesstochastic processessemimartingalesstochastic exponentialsstochastic integrals

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01)

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Cited in

(15)

• Stochastic analysis
• A short history of stochastic integration and mathematical finance: the early years, 1880--1970
• Stochastic differential equations. An introduction with applications.
• Theoretical Foundations for Quantitative Finance
• Simplified stochastic calculus with applications in economics and finance
• Stochastic calculus and applications
• Single jump filtrations and local martingales
• The joint law of terminal values of a nonnegative submartingale and its compensator
• The joint law of a max-continuous local submartingale and its maximum
• A Course of Stochastic Analysis
• Stochastic calculus of variations in mathematical finance.
• Stochastic Calculus and Differential Equations for Physics and Finance
• Stochastic calculus for assets with non-Gaussian price fluctuations
• Continuous stochastic calculus with applications to finance
• Stochastic processes and financial mathematics. Translated from the German

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