Chapter 1: Basic notions on stochastic processes

Chapters in this book

1. Frontmatter I
2. Preface V
3. Part 1: Martingales - Quasimartingales - Semimartingales
4. Chapter 1: Basic notions on stochastic processes 3
5. Chapter 2: Martingales and quasimartingales - Basic inequalities and convergence theorem - Application to stochastic algorithms 40
6. Chapter 3: Quasimartingales from class [L. D] - Predictable and dual predictable projection of processes 80
7. Chapter 4: Square integrable martingales and semimartingales 111
8. Part II: Stochastic Calculus
9. Chapter 5: Stochastic integral with respect to semimartingales and the transformation formula 167
10. Chapter 6: First applications of the transformation theorem 198
11. Chapter 7: Random measures and local characteristics of a semimartingale 217
12. Chapter 8: Stochastic differential equations 239
13. Bibliography 273
14. Index of notation 284
15. Index 286
16. Backmatter 289