Bichteler (mathematics, U. of Texas at Austin) aims to present the mathematical underpinning of stochastic analysis. Wiener process is treated for economics students and driving terms with jumps are covered to give mathematics students the background to connect with the literature and discrete time martingales. This leads to the most general LebesgueStieltjes integral. Bichteler identifies the useful LebesgueStieltjes distribution functions among all functions on the line and looks at criteria for process to be useful as "random distribution functions." Integration theory is demonstrated to be useful for finding these criteria.

Authors: Bichteler K.  Pages: 508 Year: 2002 
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