Continuous Martingales and Brownian Motion
(Sprache: Englisch)
"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....This is THE book for a capable graduate student starting out on...
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Klappentext zu „Continuous Martingales and Brownian Motion “
"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....This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises." -BULLETIN OF THE L.M.S.
Inhaltsverzeichnis zu „Continuous Martingales and Brownian Motion “
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.
Bibliographische Angaben
- Autoren: Daniel Revuz , Marc Yor
- 2004, 3rd ed., 3rd corr. pr., 602 Seiten, 8 Abbildungen, Maße: 16 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer
- ISBN-10: 3540643257
- ISBN-13: 9783540643258
- Erscheinungsdatum: 07.09.2004
Sprache:
Englisch
Rezension zu „Continuous Martingales and Brownian Motion “
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 in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises, and throwing out challenging remarks about areas awaiting further research..." Bull.L.M.S. 24, 4 (1992)
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