Stochastic Integration and Differential Equations: Version 2.1 (Stochastic Modelling and Applied Probability)

by PhilipE.Protter (Author)

• New

  Paperback
  2010

  $116.61

  Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery's examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process).