Continuous Martingales and Brownian Motion

Continuous Martingales and Brownian Motion / by Daniel Revuz, Marc Yor.

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Bibliographic Details
Main Author: Revuz, Daniel
Other Authors: Yor, Marc
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 1999.
Edition:Corrected Third print. of the Third edition.
Series:Grundlehren der mathematischen Wissenschaften, A Series of Comprehensive Studies in Mathematics ; 293.
Subjects:
Mathematics.
Distribution (Probability theory)
mathematics.
applied mathematics.
distribution (statistics-related concept)
Mathematics
Online Access:Click for online access
Table of Contents:
  • 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.

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