Chapter 65: Applications

651
Exponential processes

Exponential processes; and local martingales; when the exponential
process is a martingale; Brownian motion; converting
semimartingales into martingales by change of law.

652
Brownian processes

Distributions and characteristic functions; Lévy's
characterization of Brownian motion; locally jump-free local
martingales and time-changed Brownian motion.

653
Picard's theorem

Doob's quadratic maximal inequality; Picard's theorem for the
Riemann-sum integral; Picard's theorem for the S-integral.

654
The Black-Scholes model

Options, hedging, risk-free processes and a basic pricing model.

TeX,
PDF,
ro-PDF (results-only version).

Return to contents page.

Revised 7.11.2017