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Название: Martingales and Stochastic Integrals I
Автор: Meyer P.
Аннотация:
In this chapter we consider a class of continuous stochastic processes, called martingales, which play a central role in finance. We also define the gains realized from trading as a stochastic integral. Stochastic integration and martingales provide key tools for the analysis of the continuous time evolution of financial markets.