The Counting Process and Martingale Framework
Thomas R. Fleming, David P. Harrington · Wiley series in probability and statistics · 2005
This chapter contains sections titled: Introduction Stochastic Processes and Stochastic Integrals The Martingale M = N – A The Doob-Meyer Decomposition: Applications to Quadratic Variation The Martingale Transform ∫ HdM Bibliographic Notes