Semimartingale Theory and Stochastic Calculus presents a systematic and detailed account of the general theory of stochastic processes, the semimartingale theor

A graduate-course text, written for readers familiar with measure-theoretic probability and discrete-time processes, wishing to explore stochastic processes in

Initially the theory of convergence in law of stochastic processes was developed quite independently from the theory of martingales, semimartingales and stochas

The purpose of this book is to present a comprehensive account of the different definitions of stochastic integration for fBm, and to give applications of the r

This volume of the Encyclopaedia is a survey of stochastic calculus, an increasingly important part of probability, authored by well-known experts in the field.