2005/06/30 by Ashkan Nikeghbali · 93 citations
Economics, Econometrics and Finance · Mathematics · #Calculus (dental) #Complex Systems and Time Series Analysis #Financial Risk and Volatility Modeling #Mathematical economics #Mathematics #Statistical physics #Stochastic processes and financial applications #math.PR #msc:05A15 #msc:05C38 #msc:15A15 #msc:15A18
paper · pdf · doi:10.1214/154957806000000104
published in Probability Surveys 3(none) (Bernoulli Society for Mathematical Statistics and Probability) · Published at http://dx.doi.org/10.1214/154957806000000104 in the Probability Surveys (http://www.i-journals.org/ps/) by the Institute of Mathematical Statistics (http://www.imstat.org)
openalex publication_date 2006/01/01 · arxiv created 2007/01/03 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/08/06
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.