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Continuous martingales and Brownian motion by Daniel Revuz, Marc Yor

Continuous martingales and Brownian motion Daniel Revuz, Marc Yor ebook
Page: 637
Format: djvu
Publisher: Springer
ISBN: 3540643257, 9783540643258

Description for Contuous Martgales and Brownian Motion REPOST. Moreover, every continuous martingale is just brownian motion with a different clock. Volume 293, Grundlehren der mathematischen Wissenschaften. Yor, Continuous Martingales and Brownian Motion, Third Edition Corrected. In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, and Brownian motion as a Continuous Distributions - Probability Examples c-6 Related topics which are treated include Markov chains, renewal theory, the martingale problem, Itô calculus, cylindrical measures, and ergodic theory. Whence, the entire theory of stochastic calculus is built around brownian motion. Amazon.com: Handbook of Brownian Motion - Facts and Formulae. [ReYo98] D.Revuz, M.Yor, Continuous Martingales and Brownian Motion, Grundlehren der mathematischen Wissenschaften, 3rd edition, Springer, 1998. Diffusions, Markov Processes, and Martingales: Volume 1. Hm, it's covered in Yor's book "Continuous martingales and brownian motion" but only as an exercise, I also believe it's present in "Aspects of brownian motion" but I don't have access to this book as of now. Product Description PThis is a magnificent book! Then, to get a solid background in SDE's you can read Revuz, Yor "Continuous Martingales and Brownian Motion" which is more or a less the standard stoch calc book for pure mathematicians.