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

Product Description PThis is a magnificent book! 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. Yor : Continuous martingales and Brownian motion. [7] [法] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren der. Watanabe : Stochastic differential equations and diffusion processes. 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. North Holland (Second edition, 1988). May 16, 2011- Probability Reading Group, Warwick - "Local times" based on the book "Continuous martingales and Brownian motion" by D. Mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$. In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, and Brownian motion as a Continuous Distributions - Probability Examples c-6 Related topics which are treated include Markov chains, renewal theory, the martingale problem, Itô calculus, cylindrical measures, and ergodic theory. Continuous martingales and Brownian motion, Revuz D., Yor M.