Continuous Martingales and Brownian Motion
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
eBook, English, 1999
Corrected Third print. of the Third edition View all formats and editions
Springer Berlin Heidelberg, Berlin, Heidelberg, 1999
1 online resource (xi, 606 pages)
9783662064009, 3662064006
851385878
Print version:
Preliminaries
Introduction
Martingales
Markov Processes
Stochastic Integration
Representation of Martingales
Local Times
Generators and Time Reversal
Girsanov's Theorem and First Applications
Stochastic Differential Equations
Additive Functionals of Brownian Motion
Bessel Processes and Ray-Knight Theorems
Excursions
Limit Theorems in Distribution
Appendix
Bibliography
Index of Notation
Index of Terms
Catalogue
English