Probability Surveys

An essay on the general theory of stochastic processes

Ashkan Nikeghbali

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Abstract

This text is a survey of the general theory of stochastic processes, with a view towards random times and enlargements of filtrations. The first five chapters present standard materials, which were developed by the French probability school and which are usually written in French. The material presented in the last three chapters is less standard and takes into account some recent developments.

Article information

Source
Probab. Surveys, Volume 3 (2006), 345-412.

Dates
First available in Project Euclid: 2 January 2007

Permanent link to this document
https://projecteuclid.org/euclid.ps/1167752810

Digital Object Identifier
doi:10.1214/154957806000000104

Mathematical Reviews number (MathSciNet)
MR2280298

Zentralblatt MATH identifier
1189.60076

Subjects
Primary: 05C38: Paths and cycles [See also 90B10] 15A15: Determinants, permanents, other special matrix functions [See also 19B10, 19B14]
Secondary: 05A15: Exact enumeration problems, generating functions [See also 33Cxx, 33Dxx] 15A18: Eigenvalues, singular values, and eigenvectors

Keywords
General theory of stochastic processes Enlargements of filtrations Random times Submartingales Stopping times Honest times Pseudo-stopping times

Citation

Nikeghbali, Ashkan. An essay on the general theory of stochastic processes. Probab. Surveys 3 (2006), 345--412. doi:10.1214/154957806000000104. https://projecteuclid.org/euclid.ps/1167752810


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