Download this PDF file Fullscreen Fullscreen Off
References
- Beiglböck, Mathias; Schachermayer, Walter; Veliyev, Bezirgen. A short proof of the Doob-Meyer theorem. Stochastic Process. Appl. 122 (2012), no. 4, 1204--1209. MR2914749
- Jacod, Jean; Shiryaev, Albert N. Limit theorems for stochastic processes. Second edition. Grundlehren der Mathematischen Wissenschaften [Fundamental Principles of Mathematical Sciences], 288. Springer-Verlag, Berlin, 2003. xx+661 pp. ISBN: 3-540-43932-3 MR1943877
- Kallenberg, Olav. Foundations of modern probability. Probability and its Applications (New York). Springer-Verlag, New York, 1997. xii+523 pp. ISBN: 0-387-94957-7 MR1464694
- Karatzas, Ioannis; Shreve, Steven E. Brownian motion and stochastic calculus. Graduate Texts in Mathematics, 113. Springer-Verlag, New York, 1988. xxiv+470 pp. ISBN: 0-387-96535-1 MR0917065
- Larsen, Kasper; Žitković, Gordan. Stability of utility-maximization in incomplete markets. Stochastic Process. Appl. 117 (2007), no. 11, 1642--1662. MR2438002
- G. Lowther. http://almostsure.wordpress.com/2011/05/26/predictable-stopping-times-2/, 2013.
- M. Métivier and J. Pellaumail. Stochastic integration, volume 168. Academic Press New York, 1980.
- Protter, Philip E. Stochastic integration and differential equations. Second edition. Applications of Mathematics (New York), 21. Stochastic Modelling and Applied Probability. Springer-Verlag, Berlin, 2004. xiv+415 pp. ISBN: 3-540-00313-4 MR2020294
- Rao, K. Murali. On decomposition theorems of Meyer. Math. Scand. 24 1969 66--78. MR0275510
- Rogers, L. C. G.; Williams, David. Diffusions, Markov processes, and martingales. Vol. 1. Foundations. Reprint of the second (1994) edition. Cambridge Mathematical Library. Cambridge University Press, Cambridge, 2000. xx+386 pp. ISBN: 0-521-77594-9 MR1796539
- Rogers, L. C. G.; Williams, David. Diffusions, Markov processes, and martingales. Vol. 2. Itô calculus. Reprint of the second (1994) edition. Cambridge Mathematical Library. Cambridge University Press, Cambridge, 2000. xiv+480 pp. ISBN: 0-521-77593-0 MR1780932

This work is licensed under a Creative Commons Attribution 3.0 License.