Foundations of Martingale Theory and Stochastic Calculus from a Finance Perspective
نویسنده
چکیده
The language of mathematical Finance allows to express many results of martingale theory via trading arguments, which makes it somehow easier to appreciate their contents. Just to provide one illustrative example: let X = (Xn)n≥0 be a martingale and let N b a(t) count the upcrossings over the interval [a, b], then we can find a predictable process V = (Vn)n≥0 such that (b− a)N b a(t) ≤ (a−Xt) + + (V •X)t ,
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تاریخ انتشار 2017