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An essay on the general theory of stochastic processes


Nikeghbali, A (2006). An essay on the general theory of stochastic processes. Probability Surveys, 3:345-412.

Abstract

This text is a survey of the general theory of stochastic processes, with a view towards random times and enlargements of filtrations. The first five chapters present standard materials, which were developed by the French probability school and which are usually written in French. The material presented in the last three chapters is less standard and takes into account some recent developments.

Abstract

This text is a survey of the general theory of stochastic processes, with a view towards random times and enlargements of filtrations. The first five chapters present standard materials, which were developed by the French probability school and which are usually written in French. The material presented in the last three chapters is less standard and takes into account some recent developments.

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:07 Faculty of Science > Institute of Mathematics
Dewey Decimal Classification:510 Mathematics
Scopus Subject Areas:Physical Sciences > Statistics and Probability
Uncontrolled Keywords:General theory of stochastic processes, Enlargements of filtrations, Random times, Submartingales, Stopping times, Honest times, Pseudo-stopping times
Language:English
Date:2006
Deposited On:20 Jan 2010 10:22
Last Modified:29 Jul 2020 19:35
Publisher:Institute of Mathematical Statistics
ISSN:1549-5787
OA Status:Hybrid
Publisher DOI:https://doi.org/10.1214/154957806000000104
Related URLs:http://arxiv.org/abs/math/0506581
http://projecteuclid.org/DPubS/Repository/1.0/Disseminate?handle=euclid.ps/1167752810&view=body&content-type=pdfview_1

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