Martingales and Stochastic Integrals

DOI10.1017/CBO9780511897221zbMath0537.60047OpenAlexW2021718102MaRDI QIDQ3322947

P. Ekkehard Kopp

Publication date: 1984

Full work available at URL: https://doi.org/10.1017/cbo9780511897221

zbMATH Keywords

optimal stoppingBrownian motionvon Neumann algebrasconvergence resultsPoisson processupcrossing inequalitieslocal martingalesIto differentiation rule

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Stopping times; optimal stopping problems; gambling theory (60G40) Martingales with continuous parameter (60G44) Stochastic integrals (60H05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)

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