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Calcul Stochastique et Problèmes de Martingales

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Author(s): Jean Jacod (auth.)
Series: Lecture Notes in Mathematics 714
Edition: 1
Publisher: Springer-Verlag Berlin Heidelberg
Year: 1979

Language: French
Pages: 539
City: Berlin; New York
Tags: Probability Theory and Stochastic Processes

Quelques Notations Et Definitions....Pages 1-7
Resume De La Theorie Generale Des Processus....Pages 8-25
Martingales, Semimartingales Et Integrales Stochastiques....Pages 26-65
Mesures Aleatoires Et Integrales Stochastiques....Pages 66-112
Sous-Espaces Stables De Martingales....Pages 113-157
Complements Sur Les Semimartingales....Pages 158-189
Formules Exponentielles Et Decompositions Multiplicatives....Pages 190-210
Changements De Probabilite....Pages 211-248
Conditions Pour L'Absolue Continuite....Pages 249-277
Changements De Filtration....Pages 278-310
Changements De Temps Et Changements D'Espace....Pages 311-336
Solutions Extremales d'Un Premier Probleme De Martingales....Pages 337-361
Un Second Probleme De Martingales....Pages 362-405
Problemes De Martingales: Quelques Exemples....Pages 406-446
Equations Differentielles Stochastiques Et Problemes De Martingales....Pages 447-494
Representation Integrale Des Solutions De Problemes De Martingales....Pages 495-517