Stochastic Processes

Robert Jarrow ()

Chapter Chapter 1 in Continuous-Time Asset Pricing Theory, 2021, pp 3-20 from Springer

Abstract: Abstract We need a basic understanding of stochastic processes to study asset pricing theory. Excellent references are Karatzas and Shreve (Brownian motion and stochastic calculus, Springer, Berlin, 1988), Medvegyev (Stochastic integration theory, Oxford University Press, New York, 2009), Rogers and Williams (Diffusions, Markov processes, and martingales: volume 2 Ito calculus, Wiley, New York, 1987), and Protter (Stochastic integration and differential equations, second edition, version 2.1, Springer, Berlin, 2005). This chapter introduces some terminology, notation, and key theorems. Few proofs of the theorems are provided, only references for such. The basics concepts from probability theory are used below without any detailed explanation [see Ash (Real analysis and probability, Academic, New York, 1972) or Jacod and Protter (Probability essentials, Springer, New York, 2000) for this background material].

Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprfcp:978-3-030-74410-6_1

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DOI: 10.1007/978-3-030-74410-6_1

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