Probability Surveys

An essay on the general theory of stochastic processes

Ashkan Nikeghbali

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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.

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

First available in Project Euclid: 2 January 2007

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Zentralblatt MATH identifier

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

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


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

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