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Continuous martingales and Brownian motion by Daniel Revuz, Marc Yor

Continuous martingales and Brownian motion Daniel Revuz, Marc Yor ebook
Publisher: Springer
ISBN: 3540643257, 9783540643258
Format: djvu
Page: 637

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. [ReYo98] D.Revuz, M.Yor, Continuous Martingales and Brownian Motion, Grundlehren der mathematischen Wissenschaften, 3rd edition, Springer, 1998. Amazon.com: Handbook of Brownian Motion - Facts and Formulae. Download Continuous Martingales and Brownian Motion Revuz, M. Product Description PThis is a magnificent book! Diffusions, Markov Processes, and Martingales: Volume 1. 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. Continuous Martingales and Brownian Motion book download. Continuous Martingales and Brownian Motion (Grundlehren Der Mathematischen Wissenschaften, Vol 293).