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Continuous martingales and Brownian motion

Author: D Revuz; Marc Yor
Publisher: Berlin ; New York : Springer, ©1999.
Series: Grundlehren der mathematischen Wissenschaften, 293.
Edition/Format:   Print book : English : 3rd edView all editions and formats
Summary:

Describes a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion. This book explains the theory, presenting further developments as exercises. It is  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: D Revuz; Marc Yor
ISBN: 3540643257 9783540643258
OCLC Number: 40481166
Description: xiii, 602 pages : illustrations ; 25 cm.
Contents: Ch. 0. Preliminaries --
Ch. I. Introduction --
Ch. II. Martingales --
Ch. III. Markov Processes --
Ch. IV. Stochastic Integration --
Ch. V. Representation of Martingales --
Ch. VI. Local Times --
Ch. VII. Generators and Time Reversal --
Ch. VIII. Girsanov's Theorem and First Applications --
Ch. IX. Stochastic Differential Equations --
Ch. X. Additive Functionals of Brownian Motion --
Ch. XI. Bessel Processes and Ray-Knight Theorems --
Ch. XII. Excursions --
Ch. XIII. Limit Theorems in Distribution.
Series Title: Grundlehren der mathematischen Wissenschaften, 293.
Responsibility: Daniel Revuz, Marc Yor.

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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 Read more...

 
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