Author | Revuz, Daniel. author |
---|---|
Title | Continuous Martingales and Brownian Motion [electronic resource] / by Daniel Revuz, Marc Yor |
Imprint | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 1999 |
Edition | Corrected Third Printing of the Third Edition |
Connect to | http://dx.doi.org/10.1007/978-3-662-06400-9 |
Descript | XIII, 602 p. online resource |
0. Preliminaries -- I. Introduction -- II. Martingales -- III. Markov Processes -- IV. Stochastic Integration -- V. Representation of Martingales -- VI. Local Times -- VII. Generators and Time Reversal -- VIII. Girsanovโs Theorem and First Applications -- IX. Stochastic Differential Equations -- X. Additive Functionals of Brownian Motion -- XI. Bessel Processes and Ray-Knight Theorems -- XII. Excursions -- XIII. Limit Theorems in Distribution -- ยง1. Gronwallโs Lemma -- ยง2. Distributions -- ยง3. Convex Functions -- ยง4. Hausdorff Measures and Dimension -- ยง5. Ergodic Theory -- ยง6. Probabilities on Function Spaces -- ยง7. Bessel Functions -- ยง8. Sturm-Liouville Equation -- Index of Notation -- Index of Terms -- Catalogue