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It starts with basic definitions and facts from stochastic processes; filtration, measurability, adapted and predictable processes, stopping time, and decomposition.

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The next chapters continue with the martingale property. We find many classical results in a quite general context like Doob's inequalities or convergence theorems. The first part is concluded by a chapter devoted to square integrable semimartingales, quadratic variation and Meyer's process. Here we also find the theory of Hilbert space valued martingales and stochastic integrals with respect to them. In the second part, stochastic calculus is the focus.

Semimartingale - Wikipedia

Then, as an application, the Brownian and Poisson processes are considered and changes of probability, as well as Girsanov formula, are presented. The book culminates with a chapter on SDE. This is not a book which I would recommend as an introduction to stochastic processes and martingales. But for any rigorous work in the theory of martingales, namely non-continuous processes, semimartingales and multidimensional martingales, it is the book that should be consulted first.

The book consists of two parts.

Martingales

In the first part the general theory of martingales is given. It starts with basic definitions and facts from stochastic processes; filtration, measurability, adapted and predictable processes, stopping time, and decomposition.

The next chapters continue with the martingale property. We find many classical results in a quite general context like Doob's inequalities or convergence theorems. The first part is concluded by a chapter devoted to square integrable semimartingales, quadratic variation and Meyer's process.

Here we also find the theory of Hilbert space valued martingales and stochastic integrals with respect to them. In the second part, stochastic calculus is the focus.


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Then, as an application, the Brownian and Poisson processes are considered and changes of probability, as well as Girsanov formula, are presented. The book culminates with a chapter on SDE.

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