Grundlehren der mathematischen Wissenschaften

Continuous Martingales and Brownian Motion

Authors: Revuz, Daniel, Yor, Marc

Buy this book

eBook $74.99
price for USA in USD (gross)
  • ISBN 978-3-662-21726-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
About this book

This book focuses on the probabilistic theory ofBrownian motion. This is a good topic to center a discussion around because Brownian motion is in the intersec­ tioll of many fundamental classes of processes. It is a continuous martingale, a Gaussian process, a Markov process or more specifically a process with in­ dependent increments; it can actually be defined, up to simple transformations, as the real-valued, centered process with independent increments and continuous paths. It is therefore no surprise that a vast array of techniques may be success­ fully applied to its study and we, consequently, chose to organize the book in the following way. After a first chapter where Brownian motion is introduced, each of the following ones is devoted to a new technique or notion and to some of its applications to Brownian motion. Among these techniques, two are of para­ mount importance: stochastic calculus, the use ofwhich pervades the whole book and the powerful excursion theory, both of which are introduced in a self­ contained fashion and with a minimum of apparatus. They have made much easier the proofs of many results found in the epoch-making book of Itö and McKean: Diffusion Processes and their Sampie Paths, Springer (1965).

Table of contents (14 chapters)

Buy this book

eBook $74.99
price for USA in USD (gross)
  • ISBN 978-3-662-21726-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Loading...

Recommended for you

Loading...

Bibliographic Information

Bibliographic Information
Book Title
Continuous Martingales and Brownian Motion
Authors
Series Title
Grundlehren der mathematischen Wissenschaften
Series Volume
293
Copyright
1991
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-662-21726-9
DOI
10.1007/978-3-662-21726-9
Series ISSN
0072-7830
Edition Number
1
Number of Pages
IX, 536
Topics