product iamge

Semimartingales and stochastic integration

This document was uploaded by one of our users. The uploader already confirmed that they had the permission to publish it. If you are author/publisher or own the copyright of this documents, please report to us by using this DMCA report form.

Download
Search on Amazon

Simply click on the Download Book button.

Yes, Book downloads on Ebookily are 100% Free.

Sometimes the book is free on Amazon As well, so go ahead and hit "Search on Amazon"

Author(s): Sergio Pulido

Language: English

Contents
Motivation
Preliminaries
Review of stochastic processes
Review of martingales
Poisson process and Brownian motion
Lévy processes
Lévy measures
Localization
Integration with respect to processes of finite variation
Naïve stochastic integration is impossible
Semimartingales and stochastic integration
Introduction
Stability properties of semimartingales
Elementary examples of semimartingales
The stochastic integral as a process
Properties of the stochastic integral
The quadratic variation of a semimartingale
Itô's formula
Applications of Itô's formula
The Bichteler-Dellacherie Theorem and its connexions to arbitrage
Introduction
Proofs of Theorems 3.1.7 and 3.1.8
A short proof of the Doob-Meyer theorem
Fundamental theorem of local martingales
Quasimartingales, compensators, and the fundamental theorem of local martingales
Special semimartingales and another decomposition theorem for local martingales
Girsanov's theorem
General stochastic integration
Stochastic integrals with respect to predictable processes
Index