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...
Cote: | Libro Electrónico |
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Auteur principal: | |
Autres auteurs: | |
Format: | Électronique eBook |
Langue: | Inglés |
Publié: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
1999.
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Édition: | Corrected Third print. of the Third edition. |
Collection: | Grundlehren der mathematischen Wissenschaften, A Series of Comprehensive Studies in Mathematics ;
293. |
Sujets: | |
Accès en ligne: | Texto completo |
Table des matières:
- 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.