Continuous martingales and Brownian motion. Daniel Revuz, Marc Yor

Continuous martingales and Brownian motion

ISBN: 3540643257,9783540643258 | 637 pages | 16 Mb

Download Continuous martingales and Brownian motion

Continuous martingales and Brownian motion Daniel Revuz, Marc Yor
Publisher: Springer

May 16, 2011- Probability Reading Group, Warwick - "Local times" based on the book "Continuous martingales and Brownian motion" by D. Moreover, every continuous martingale is just brownian motion with a different clock. The martingale representation theorem states that any martingale adapted with respect to a Brownian motion can be expressed as a stochastic integral with respect to the same Brownian motion. Volume 293, Grundlehren der mathematischen Wissenschaften. Probability and its Applications Continuous martingales and brownian motion Continuous martingales and brownian motion,D. Yor, Continuous Martingales and Brownian Motion, Third Edition Corrected. Description for Contuous Martgales and Brownian Motion REPOST. Product Description PThis is a magnificent book! Whence, the entire theory of stochastic calculus is built around brownian motion. Of facts and formulae associated Brownian motion.