Continuous Martingales and Brownian MotionSpringer Science & Business Media, 7 de set. de 2004 - 602 páginas From the reviews: "This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises, and throwing out challenging remarks about areas awaiting further research..." Bull.L.M.S. 24, 4 (1992) Since the first edition in 1991, an impressive variety of advances has been made in relation to the material of this book, and these are reflected in the successive editions. |
Conteúdo
VIII | 15 |
IX | 26 |
X | 33 |
XI | 41 |
XII | 48 |
XIII | 51 |
XV | 60 |
XVI | 68 |
LI | 338 |
LII | 349 |
LIII | 362 |
LIV | 365 |
LVI | 375 |
LVII | 388 |
LVIII | 399 |
LIX | 401 |
XVII | 77 |
XVIII | 79 |
XX | 88 |
XXI | 102 |
XXII | 114 |
XXIII | 117 |
XXIV | 119 |
XXVI | 137 |
XXVII | 146 |
XXVIII | 160 |
XXIX | 171 |
XXX | 176 |
XXXI | 179 |
XXXIII | 189 |
XXXIV | 198 |
XXXV | 209 |
XXXVI | 216 |
XXXVII | 221 |
XXXVIII | 239 |
XXXIX | 251 |
XL | 260 |
XLI | 269 |
XLII | 277 |
XLIII | 281 |
XLV | 294 |
XLVI | 300 |
XLVII | 313 |
XLVIII | 322 |
XLIX | 325 |
LX | 409 |
LXI | 422 |
LXII | 430 |
LXIII | 436 |
LXIV | 439 |
LXV | 454 |
LXVI | 463 |
LXVII | 469 |
LXVIII | 471 |
LXIX | 480 |
LXX | 488 |
LXXI | 493 |
LXXII | 511 |
LXXIII | 515 |
LXXIV | 522 |
LXXV | 531 |
LXXVI | 541 |
LXXVII | 543 |
LXXVIII | 544 |
LXXIX | 547 |
LXXX | 548 |
LXXXII | 549 |
LXXXIII | 550 |
LXXXIV | 553 |
LXXXV | 595 |
| 599 | |
| 605 | |
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Termos e frases comuns
additive functional B₁ Berlin Heidelberg BES³ Bessel processes Brownian Bridge Brownian motion Chap compute constant continuous local martingale continuous semimartingale Corollary defined Definition denote density equal equation equivalent excursion Exercise exists Feller process finite variation follows function f Gaussian Girsanov's Girsanov's theorem Heidelberg New York hence Hint increasing independent inequality inf{t Itô's formula Lebesgue measure Lemma Lévy processes locally bounded M₁ Markov process Markov property mart Moreover notation Notes in Mathematics o-field P₁ paths positive Borel function predictable process Prob probability measure probability space Proposition prove random variables reader real number Remark resp respect result right-continuous Sect Sém semi-group semimartingale sequence solution standard linear BM stochastic integral stopping strong Markov property subset T₁ Theorem time-change uniformly integrable unique X₁ Y₁ zero
Passagens mais conhecidas
Página 572 - On distributions of certain Wiener functional, Trans. Amer. Math. Soc. 65 (1949), 1-13. 2. On some connections between probability theory and differential equations, Proc.
Página 564 - Un probleme de reflexion et ses applications au temps local et aux equations differentielles stochastiques sur R-cas continu.
Página 570 - Poisson point processes attached to Markov processes. Proc. Sixth Berkeley Symp. Math. Stat.
Página 566 - On the distribution of the Hilbert transform of the local time of a symmetric Levy process. Ann.
Página 583 - Bessel processes and infinitely divisible laws', in D. WILLIAMS (ed.): Stochastic Integrals, Vol.