Continuous martingales and Brownian motion /
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| Author / Creator: | Revuz, D. |
|---|---|
| Edition: | 3rd ed. |
| Imprint: | Berlin ; New York : Springer, c1999. |
| Description: | xiii, 602 p. : ill. ; 25 cm. |
| Language: | English |
| Series: | Grundlehren der mathematischen Wissenschaften. 293 |
| Subject: | |
| Format: | Print Book |
| URL for this record: | http://pi.lib.uchicago.edu/1001/cat/bib/3563949 |
Table of Contents:
- Ch. 0. Preliminaries
- Ch. I. Introduction
- Ch. II. Martingales
- Ch. III. Markov Processes
- Ch. IV. Stochastic Integration
- Ch. V. Representation of Martingales
- Ch. VI. Local Times
- Ch. VII. Generators and Time Reversal
- Ch. VIII. Girsanov's Theorem and First Applications
- Ch. IX. Stochastic Differential Equations
- Ch. X. Additive Functionals of Brownian Motion
- Ch. XI. Bessel Processes and Ray-Knight Theorems
- Ch. XII. Excursions
- Ch. XIII. Limit Theorems in Distribution.
