Overview
- Authors:
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Ioannis Karatzas
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Department of Statistics, Columbia University, New York, USA
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Steven E. Shreve
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Department of Mathematics, Carnegie Mellon University, Pittsburgh, USA
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Table of contents (6 chapters)
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Front Matter
Pages i-xxiii
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- Ioannis Karatzas, Steven E. Shreve
Pages 1-46
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- Ioannis Karatzas, Steven E. Shreve
Pages 47-127
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- Ioannis Karatzas, Steven E. Shreve
Pages 128-238
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- Ioannis Karatzas, Steven E. Shreve
Pages 239-280
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- Ioannis Karatzas, Steven E. Shreve
Pages 281-398
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- Ioannis Karatzas, Steven E. Shreve
Pages 399-446
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Back Matter
Pages 447-470
About this book
Two of the most fundamental concepts in the theory of stochastic processes are the Markov property and the martingale property. * This book is written for readers who are acquainted with both of these ideas in the discrete-time setting, and who now wish to explore stochastic processes in their continuous time context. It has been our goal to write a systematic and thorough exposi tion of this subject, leading in many instances to the frontiers of knowledge. At the same time, we have endeavored to keep the mathematical prerequisites as low as possible, namely, knowledge of measure-theoretic probability and some familiarity with discrete-time processes. The vehicle we have chosen for this task is Brownian motion, which we present as the canonical example of both a Markov process and a martingale. We support this point of view by showing how, by means of stochastic integration and random time change, all continuous-path martingales and a multitude of continuous-path Markov processes can be represented in terms of Brownian motion. This approach forces us to leave aside those processes which do not have continuous paths. Thus, the Poisson process is not a primary object of study, although it is developed in Chapter 1 to be used as a tool when we later study passage times and local time of Brownian motion.
Authors and Affiliations
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Department of Statistics, Columbia University, New York, USA
Ioannis Karatzas
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Department of Mathematics, Carnegie Mellon University, Pittsburgh, USA
Steven E. Shreve
