E-raamat: Stochastic Analysis in Discrete and Continuous Settings: With Normal Martingales

This unified presentation of stochastic analysis for continuous and discontinuous stochastic processes in both discrete and continuous time is mostly self-contained and accessible to readers who have already received a basic training in probability.

This monograph is an introduction to some aspects of stochastic analysis in the framework of normal martingales, in both discrete and continuous time. The text is mostly self-contained, except for Section 5.7 that requires some background in geometry, and should be accessible to graduate students and researchers having already received a basic training in probability. Prereq- sites are mostly limited to a knowledge of measure theory and probability, namely -algebras,expectations,andconditionalexpectations.Ashortint- duction to stochastic calculus for continuous and jump processes is given in Chapter 2 using normal martingales, whose predictable quadratic variation is the Lebesgue measure. There already exists several books devoted to stochastic analysis for c- tinuous di usion processes on Gaussian and Wiener spaces, cf. e.g. [ 51], [ 63], [ 65], [ 72], [ 83], [ 84], [ 92], [ 128], [ 134], [ 143], [ 146], [ 147]. The particular f- ture of this text is to simultaneously consider continuous processes and jump processes in the uni ed framework of normal martingales.