<--- Back to Details
First PageDocument Content
Local martingale / Semimartingale / Quadratic variation / Adapted process / Continuous stochastic process / Infinitesimal generator / Stochastic differential equation / Girsanov theorem / Natural filtration / Statistics / Stochastic processes / Martingale
Date: 2010-05-22 12:34:37
Local martingale
Semimartingale
Quadratic variation
Adapted process
Continuous stochastic process
Infinitesimal generator
Stochastic differential equation
Girsanov theorem
Natural filtration
Statistics
Stochastic processes
Martingale

Add to Reading List

Source URL: www.chiark.greenend.org.uk

Download Document from Source Website

File Size: 488,10 KB

Share Document on Facebook

Similar Documents

Nonlinear Analysis: Modelling and Control, 2011, Vol. 16, No. 4, 435–Limit theorems for a quadratic variation of Gaussian processes

DocID: 1v9BH - View Document

Probability theory / Stochastic processes / Mathematical analysis / Probability / Brownian motion / It calculus / FeynmanKac formula / Stochastic calculus / Quadratic variation / Lvy process / It diffusion / Wiener process

8 Brownian motion and Itô calculus Brownian motion is a continuous analogue of simple random walks (as described in the previous part), which is very important in many practical applications. This importance has its ori

DocID: 1rrfB - View Document

Statistics / Estimation theory / Statistical inference / Statistical theory / Regression analysis / Statistical models / Estimator / Variance / Errors-in-variables models / Consistent estimator / Correlation and dependence / Endogeneity

Estimating Quadratic Variation Consistently in the presence of Correlated Measurement Error Ilze Kalninay and Oliver Lintonz The London School of Economics October 3, 2006

DocID: 1r49z - View Document

Stochastic processes / Probability theory / Mathematical analysis / Martingale theory / Probability / Martingale / Sigma-algebra / Stopping time / Local martingale / Semimartingale / Quadratic variation / It calculus

Processes of Class Sigma, Last Passage Times and Drawdowns Patrick Cheridito∗ Princeton University Princeton, NJ, USA Ashkan Nikeghbali

DocID: 1qwin - View Document

Probability theory / Martingale theory / Fourier analysis / Game theory / Martingale / Random variable / Central limit theorem / Wiener process / Quadratic variation / Statistics / Mathematical analysis / Stochastic processes

Weak Approximation of ∗ Yan Dolinsky Marcel Nutz

DocID: 1ainy - View Document