An essay on the general theory of stochastic processes

By Ashkan Nikeghbali. 2005

104 citations recorded by the source corpus.

This text is a survey on the general theory of stochastic processes, with a view towards random times and enlargements of filtrations. The first five chapters present standard materials, which where developed by the French probability school and which are usually written in French. The material presented in the last three chapters is less standard and takes into account some recent developments.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/a6842ecde655790b4e8949c28420d836657e5c11

How researchers see this paper

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In Economics and Econometrics

1. St'ephane Cr'epey
2. Tomasz R. Bielecki
3. Damiano Brigo
4. Daniel Sevcovic

In Finance

1. St'ephane Cr'epey
2. Damiano Brigo
3. Tomasz R. Bielecki
4. Agostino Capponi
5. Andrea Pallavicini
6. Monique Jeanblanc
7. Daniel Sevcovic

Citations in the corpus

• Counterparty Risk and Funding: A Tale of Two Puzzles (2014, background): “For the predictable case see §75, page 186 in Dellacherie, Maisonneuve, and Meyer (1992) and Proposition 9.12 in (Nikeghbali 2006).”