Pathwise approximations of processes based on the fine structure of their filtrations
Séminaire de probabilités de Strasbourg, Tome 22 (1988), pp. 542-599.
@article{SPS_1988__22__542_0,
     author = {Willinger, Walter and Taqqu, Murad S.},
     title = {Pathwise approximations of processes based on the fine structure of their filtrations},
     journal = {S\'eminaire de probabilit\'es de Strasbourg},
     pages = {542--599},
     publisher = {Springer - Lecture Notes in Mathematics},
     volume = {22},
     year = {1988},
     mrnumber = {960547},
     zbl = {0645.62088},
     language = {fr},
     url = {http://archive.numdam.org/item/SPS_1988__22__542_0/}
}
TY  - JOUR
AU  - Willinger, Walter
AU  - Taqqu, Murad S.
TI  - Pathwise approximations of processes based on the fine structure of their filtrations
JO  - Séminaire de probabilités de Strasbourg
PY  - 1988
SP  - 542
EP  - 599
VL  - 22
PB  - Springer - Lecture Notes in Mathematics
UR  - http://archive.numdam.org/item/SPS_1988__22__542_0/
LA  - fr
ID  - SPS_1988__22__542_0
ER  - 
%0 Journal Article
%A Willinger, Walter
%A Taqqu, Murad S.
%T Pathwise approximations of processes based on the fine structure of their filtrations
%J Séminaire de probabilités de Strasbourg
%D 1988
%P 542-599
%V 22
%I Springer - Lecture Notes in Mathematics
%U http://archive.numdam.org/item/SPS_1988__22__542_0/
%G fr
%F SPS_1988__22__542_0
Willinger, Walter; Taqqu, Murad S. Pathwise approximations of processes based on the fine structure of their filtrations. Séminaire de probabilités de Strasbourg, Tome 22 (1988), pp. 542-599. http://archive.numdam.org/item/SPS_1988__22__542_0/

Aldous, D.J. (1981), Weak Convergence and the Theory of Processes, (unpublished) monograph, University of California, Berkeley.

Billingsley, P. (1968), Convergence of Probability Measures, J. Wiley, New York. | Zbl

Billingsley, P. (1979), Probability and Measure, J. Wiley, New York. | Zbl

Clark, J.M.C. (1970), The representation of functionals of Brownian motion by stochastic integrals, Ann. Math. Statist. 41, 1282-1295; correction ibid. 42 (1971), 1778. | Zbl

Dellacherie, C. (1975), Integrales stochastique par rapport aux processus de Wiener et de Poisson, in: Sem. Probab.VIII,Lecture Notes in Mathematics 381, Springer-Verlag, Berlin-Heidelberg-New York, 25-26; see also Sem. Probab.IX, Lecture Notes in Mathematics 465, Springer-Verlag, Berlin-Heidelberg-New York (1975), 495. | Numdam | Zbl

Dellacherie, C. and Meyer, P.-A. (1978), Probabilities and Potential A, North-Holland, Amsterdam. | Zbl

Dellacherie, C. and Meyer, P.-A. (1982), Probabilities and Potential B, North-Holland, Amsterdam. | Zbl

Dubins, L.E. (1968), On a problem of Skorohod, Ann. Math. Statist. 39, 2094-2097. | Zbl

Duffle, D. and Huang, C. (1985), Implementing Arrow-Debreu equilibria by continuous trading of few long-lived securities, Econometrica 53, 1337-1356. | Zbl

Fisk, D. (1965), Quasi-Martingales, Trans. Amer. Math. Soc. 120, 369-389. | Zbl

Harrison, J.M. and Pliska, S.R. (1981), Martingales and stochastic integrals in the theory of continuous trading, Stoch. Proc. Appl. 11, 215-260. | Zbl

Harrison, J.M. and Pliska, S.R. (1983), A stochastic calculus model of continuous trading: Complete markets, Stoch. Proc. Appl. 15, 313-316. | Zbl

Huang, C. (1985), Information structure and equilibrium asset prices, J. Econom. Theory 35, 33-71. | Zbl

Itô, K. (1951), Multiple Wiener integral, J. Math. Soc. Japan 3, 151-169. | Zbl

Itô, K. and Mckean, H.P., Jr. (1965), Diffusion Processes and Their Sample Paths, Die Grundlehren der Math. Wissenschaften, Bd. 125, Springer-Verlag, Berlin-Heidelberg-NewYork. | Zbl

Knight, F.B. (1981), Essentials of Brownian motion and diffusions, Math. Surveys 18, Amer. Math. Soc., Providence, Rhode Island. | Zbl

Kreps, D.M. (1982), Multiperiod securities and the efficient allocation of risk: A comment on the Black-Scholes option pricing model, in: The Economics of Uncertainty and Information (J. McCall, Ed.), Univ. of Chicago Press.

Kunita, H. and Watanabe, S. (1967), On square integrable martingles, Nagoya Math. J. 30, 209-245. | Zbl

Meyer, P.-A. (1971), Sur un article de Dubins, in: Sem. Probab. V, Lecture Notes in Mathematics 191, Spriner-Verlag, Berlin-Heidelberg-New York, 170-176. | Numdam

Rockafellar, R.T. (1970), Convex Analysis, Princeton Univ. Press, Princeton. | Zbl

Taqqu, M.S. and Willinger, W. (1987), The analysis of finite security markets using martingales, Adv. Appl. Prob. 19, 1-25. | Zbl

Willinger, W. and Taqqu, M.S. (1987), Pathwise stochastic integration and applications to the theory of continuous trading, Bell Communications Research, Tech. Memorandum.

Willinger, W. (1987), Pathwise stochastic integration and almost-sure approximation of stochastic processes, Ph.D. Thesis, School of Operations Research and Industrial Engineering, Cornell University, Ithaca.