A short history of stochastic integration and mathematical finance: the early years, 1880–1970

Robert A. Jarrow · Philip E. Protter

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Stochastic processes and financial applications History and Theory of Mathematics Probability and Statistical Research

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.

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1958The Cost of Capital, Corporation Finance and the Theory of Investment 2008The cost of capital, corporation finance and the theory of investment 2005Stochastic Integration and Differential Equations 1976The valuation of options for alternative stochastic processes 2015Proof that Properly Anticipated Prices Fluctuate Randomly 1991Continuous-Time Finance.1973A Random Walk Down Wall Street 1997Market Efficiency, Long-Term Returns, and Behavioral Finance

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