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An essay on the general theory of stochastic processes

Ashkan Nikeghbali, ETHZ, Departement Mathematik


Abstract
This text is a survey on the general theory of stochastic processes, with a view towards random times and enlargements of filtrations. The first five chapters present standard materials, which where 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.

AMS 2000 subject classifications: Primary 05C38, 15A15; secondary 05A15, 15A18.

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

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Nikeghbali, Ashkan, An essay on the general theory of stochastic processes, Probability Surveys, 3, (2006), 345-412 (electronic).

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