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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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg,
1999.
|
| Edición: | Corrected Third print. of the Third edition. |
| Colección: | Grundlehren der mathematischen Wissenschaften, A Series of Comprehensive Studies in Mathematics ;
293. |
| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- 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.