Filtrations

Filtrations have been introduced by Doob and have been a fundamentalfeature of the theory of stochastic processes. Most basic objects, such asmartingales, semimartingales, stopping times or Markov processes involvethe notion of filtration.[...]

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Year of publication:	2008-10-01
Authors:	Coculescu, Delia ; Nikeghbali, Ashkan
Institutions:	Finrisk
Subject:	Markov-Prozess \| Stochastischer Prozess \| stochastic

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Definitions
Enlargements of filtrations
References

Persistent link: https://www.econbiz.de/10009022141