Stochastic integration without tears

DOI10.1080/17442508608833378zbMATH Open0597.60040OpenAlexW1803361458MaRDI QIDQ3730732FDOQ3730732

Authors: Philip Protter 

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833378

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zbMATH Keywords

semimartingalesstochastic calculuschange of variables formulasubmartingale decomposition

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Cites Work

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• Semimartingales: A course on stochastic processes
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• Stochastic integration and \(L^ p-\)theory of semimartingales
• Un survol de la théorie de l'intégrale stochastique
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Cited In (14)

• Title not available (Why is that?)
• The cumulant process and Esscher's change of measure
• Approximation of measurable processes with continuous and with simple processes
• Title not available (Why is that?)
• Stochastic integration based on simple, symmetric random walks
• Quadratic covariant and Stratonovich integral
• A note on stochastic integrators
• Pathwise stochastic integration and applications to the theory of continuous trading
• Stochastic integration with respect to a sequence of semimartingales
• Title not available (Why is that?)
• On pathwise stochastic integration with respect to semimartingales
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)

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