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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
Publisher: Springer
Page: 637

Continuous martingales and Brownian motion. 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. Mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$. Let N_t=e^{i\lambda M_t +\frac{1}{ . Be a continuous local martingale such that M_0=0 and such that for every t \ge 0 , \langle M \rangle_t =t . Author: Daniel Revuz, Marc Yor Type: eBook. May 16, 2011- Probability Reading Group, Warwick - "Local times" based on the book "Continuous martingales and Brownian motion" by D. GO Continuous martingales and Brownian motion. Continuous Martingales and Brownian Motion (Grundlehren Der Mathematischen Wissenschaften, Vol 293). [7] [法] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren der. Language: English Released: 2004. North Holland (Second edition, 1988). The process (M_t)_{t \ge 0} is a standard Brownian motion. Yor : Continuous martingales and Brownian motion. Watanabe : Stochastic differential equations and diffusion processes.