Brownian motion and stochastic calculus : Martingales and downtime

Martingales and downtime
Brownian motion and stochastic calculus

Author : Sylvie MÉLÉARD

Publication date: July 10, 2003 | Lire en français

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4. Martingales and downtime

We will now define and study in detail a fundamental class of processes, which verify the first property of the (14) relationship.

Definition 17

Let $($

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Ongoing reading
Martingales and downtime

(1) - DURETT (R.) - Brownian motion and martingale analysis - . Wadsworth Advanced Books and Software (1984).
(2) - DURETT (R.) - Stochastics calculus. - Probability and Stochastic Series, CRC Press (1996).
(3) - FRIEDMAN (A.) - Partial differential equations...

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