A short history of stochastic integration and mathematical finance: the early years, 1880–1970
Robert Jarrow, Philip Protter
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Abstract
We present a history of the development of the theory of Stochastic Integration, starting from its roots with Brownian motion, up to the introduction of semimartingales and the independence of the theory from an underlying Markov process framework. We show how the development has influenced and in turn been influenced by the development of Mathematical Finance Theory. The calendar period is from 1880 to 1970.
Full-text: Open access
Permanent link to this document: http://projecteuclid.org/euclid.lnms/1196285381
Mathematical Reviews (MathSciNet):
MR2126888
Digital Object Identifier: doi:10.1214/lnms/1196285381
Institute of Mathematical Statistics Lecture Notes - Monograph Series