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VOL. 45 | 2004 A short history of stochastic integration and mathematical finance: the early years, 1880–1970

Abstract

We present a history of the development of the theory of Stochastic Integration, starting from its roots with Brownian motion, up to the introduction of semimartingales and the independence of the theory from an underlying Markov process framework. We show how the development has influenced and in turn been influenced by the development of Mathematical Finance Theory. The calendar period is from 1880 to 1970.

Information

Published: 1 January 2004
First available in Project Euclid: 28 November 2007

zbMATH: 1268.01017
MathSciNet: MR2126888

Digital Object Identifier: 10.1214/lnms/1196285381

Subjects:

Rights: Copyright © 2004, Institute of Mathematical Statistics

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Vol. 45 • 1 January 2004
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