Stochastic Processes: General Theory

Shastic Processes: General Theory starts with the fundamental existence theorem of Kolmogorov, together with several of its extensions to shastic processes. It treats the function theoretical aspects of processes and includes an extended account of martingales and their generalizations. Various compositions of (quasi- or semi-)martingales and their integrals are given. Here the Bochner boundedness principle plays a unifying role: a unique feature of the book. Applications to higher order sh...