Basics of Stochastic Calculus随机微积分基础.pdfVIP

Chapter 2 Basics of Stochastic Calculus Let .˝;F ;F;P/ be a filtered probability space. We remark again that, unlike in standard literature, we do not assume F D fFt g0tT satisfy the usual hypothesis. This will be crucial for the fully nonlinear theory in Part III, and for fixed P this is a very mild relaxation due to Proposition 1.2.1. 2.1 Brownian Motion 2.1.1 Definition Definition 2.1.1 We say a process B W Œ0;T ˝ ! R is a (standard) Brownian motion if • B0 D 0, a.s. • For any 0 D t0 tn T, Bt ;Bt ;t ; ;Bt ;t are independent.