Bøger af Philip Protter

Using classic statistical tools, this book synthesizes ten years of research to establish a sohisticated theory of how to go about estimating not just scalar parameters of a proposed model, but also the underlying structure of the model itself.

Chapter 4 treats sigma martingales (important in finance theory) and gives a more comprehensive treatment of martingale representation, including both the Jacod-Yor theory and Emery's examples of martingales that actually have martingale representation (thus going beyond the standard cases of Brownian motion and the compensated Poisson process).