an essay on the general theory of stochastic processes



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
An essay on the general theory of stochastic processes∗. Ashkan Nikeghbali. ETHZ. Departement Mathematik, Rämistrasse 101, HG G16. Zürich 8092, Switzerland e-mail: ashkan.nikeghbali@math.ethz.ch. Abstract: This text is a survey of the general theory of stochastic pro- cesses, with a view towards random times and
An essay on the general theory of stochastic processes∗. Ashkan Nikeghbali. ETHZ. Departement Mathematik, Rämistrasse 101, HG G16. Zürich 8092, Switzerland e-mail: ashkan.nikeghbali@math.ethz.ch. Abstract: This text is a survey of the general theory of stochastic pro- cesses, with a view towards random times and
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@article{Nikeghbali2006, author = {Nikeghbali, Ashkan}, journal = {Probability Surveys [electronic only]}, keywords = {general theory of stochastic processes; enlargements of filtrations; random times; submartingales; stopping times; honest times; pseudo-stopping times}, language = {eng}, pages = {345-412}, publisher
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Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen, Springer Science & Business Media, 2010. [NIK 06] NIKEGHBALIA., “An essay on the general theory of stochastic processes”, Probability Surveys, vol. 3, pp. 345–412, 2006. [NIK 13] NIKEGHBALIA., PLATEN E., “A reading guide for last passage
Probability and Stochastic Processes. By ALLADI RAMAKRISHNAN. Prefatory note. This essay needs an apology rather than a preface. It is an attempt to present to the physicist a physical approach to the theory of stochastic processes, a field till recently the close preserve of the mathematician. The only justification for the

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