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


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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Ashkan Nikeghbali. "An essay on the general theory of stochastic processes." Probab. Surveys 3 345 - 412, 2006.


Published: 2006
First available in Project Euclid: 2 January 2007

zbMATH: 1189.60076
MathSciNet: MR2280298
Digital Object Identifier: 10.1214/154957806000000104

Primary: 05C38 , 15A15
Secondary: 05A15 , 15A18‎

Keywords: Enlargements of filtrations , General theory of stochastic processes , Honest times , Pseudo-stopping times , Random times , stopping times , submartingales

Rights: Copyright © 2006 The Institute of Mathematical Statistics and the Bernoulli Society

Vol.3 • 2006
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