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An essay on the general theory of stochastic processes. (English) Zbl 1189.60076

Summary: 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.

MSC:

60G07 General theory of stochastic processes
60G40 Stopping times; optimal stopping problems; gambling theory
60H05 Stochastic integrals
60H30 Applications of stochastic analysis (to PDEs, etc.)
60-02 Research exposition (monographs, survey articles) pertaining to probability theory
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