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Continuous martingales and Brownian motion by Daniel Revuz, Marc Yor

Continuous martingales and Brownian motion Daniel Revuz, Marc Yor ebook
Format: djvu
ISBN: 3540643257, 9783540643258
Page: 637
Publisher: Springer

Yor : Continuous martingales and Brownian motion. Whence, the entire theory of stochastic calculus is built around brownian motion. Language: English Released: 2004. Author: Daniel Revuz, Marc Yor Type: eBook. Continuous martingales and Brownian motion. North Holland (Second edition, 1988). [ReYo98] D.Revuz, M.Yor, Continuous Martingales and Brownian Motion, Grundlehren der mathematischen Wissenschaften, 3rd edition, Springer, 1998. [7] [法] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren der. Hm, it's covered in Yor's book "Continuous martingales and brownian motion" but only as an exercise, I also believe it's present in "Aspects of brownian motion" but I don't have access to this book as of now. Mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$. Watanabe : Stochastic differential equations and diffusion processes. 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. Then, to get a solid background in SDE's you can read Revuz, Yor "Continuous Martingales and Brownian Motion" which is more or a less the standard stoch calc book for pure mathematicians. Product Description PThis is a magnificent book! GO Continuous martingales and Brownian motion. Moreover, every continuous martingale is just brownian motion with a different clock.