Stochastic Calculus

by D.H.Fremlin, University of Essex

In these notes I aim to give a complete, precise and accessible description of a stochastic integral, with its basic properties and applications up to and including Girsanov's theorem. The route I choose is, unsurprisingly, dependent on material in my treatise Measure Theory; to the extent that it is convenient to present the notes as if they were a final Volume 6 of that work. For more details, see contents and index.

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