Continuous Martingales and Brownian Motion

  • Daniel Revuz
  • Marc Yor

Part of the Grundlehren der mathematischen Wissenschaften book series (GL, volume 293)

Table of contents

  1. Front Matter
    Pages I-XI
  2. Daniel Revuz, Marc Yor
    Pages 1-14
  3. Daniel Revuz, Marc Yor
    Pages 15-49
  4. Daniel Revuz, Marc Yor
    Pages 51-77
  5. Daniel Revuz, Marc Yor
    Pages 79-117
  6. Daniel Revuz, Marc Yor
    Pages 119-178
  7. Daniel Revuz, Marc Yor
    Pages 179-220
  8. Daniel Revuz, Marc Yor
    Pages 221-280
  9. Daniel Revuz, Marc Yor
    Pages 281-323
  10. Daniel Revuz, Marc Yor
    Pages 325-364
  11. Daniel Revuz, Marc Yor
    Pages 365-400
  12. Daniel Revuz, Marc Yor
    Pages 401-438
  13. Daniel Revuz, Marc Yor
    Pages 439-470
  14. Daniel Revuz, Marc Yor
    Pages 471-513
  15. Daniel Revuz, Marc Yor
    Pages 515-542
  16. Back Matter
    Pages 543-606

About this book

Introduction

From the reviews: "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) Since the first edition in 1991, an impressive variety of advances has been made in relation to the material of this book, and these are reflected in the successive editions.

Keywords

Bessel process Brownian motion Ergodic theory Markov process Martingale Martingales Stochastic Integration Stochastic Processes local time

Authors and affiliations

  • Daniel Revuz
    • 1
  • Marc Yor
    • 2
  1. 1.Départment de MathématiquesUniversité Paris VIIParis Cedex 05France
  2. 2.Laboratoire de ProbabilitésUniversité Pierre et Marie CurieParis Cedex 05France

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-662-06400-9
  • Copyright Information Springer-Verlag Berlin Heidelberg 1999
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Print ISBN 978-3-642-08400-3
  • Online ISBN 978-3-662-06400-9
  • Series Print ISSN 0072-7830
  • About this book
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