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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:   Book : English : 3rd edView all editions and formats
Database:WorldCat
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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Details

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: 0. Preliminaries.- I. Introduction.- II. Martingales.- III. Markov Processes.- IV. Stochastic Integration.- V. Representation of Martingales.- VI. Local Times.- VII. Generators and Time Reversal.- VIII. Girsanov's Theorem and First Applications.- IX. Stochastic Differential Equations.- X. Additive Functionals of Brownian Motion.- XI. Bessel Processes and Ray-Knight Theorems.- XII. Excursions.- XIII. Limit Theorems in Distribution.- 1. Gronwall's Lemma.- 2. Distributions.- 3. Convex Functions.- 4. Hausdorff Measures and Dimension.- 5. Ergodic Theory.- 6. Probabilities on Function Spaces.- 7. Bessel Functions.- 8. Sturm-Liouville Equation.- Index of Notation.- Index of Terms.- Catalogue.
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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