Continuous martingales and Brownian motion

By:

Revuz, Daniel

Contributor(s):

Yor, Marc [Co-author]

Material type: Text

TextSeries: A series of comprehensive studies in mathematics ; 293Publication details: Springer 1999 BerlinDescription: xi, 606 p. ill. Includes bibliographical references and indexISBN:

9783642084003

Subject(s):

DDC classification:

519.287 R3C6

Summary: 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. https://link.springer.com/book/10.1007/978-3-662-06400-9

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Holdings
Item type	Current library	Collection	Call number	Status	Date due	Barcode	Item holds
Book	Ahmedabad General Stacks	Non-fiction	519.287 R3C6 (Browse shelf(Opens below))	Available		203891

Total holds: 0

Table of contents

Ch. 0. Preliminaries --
Ch. I. Introduction --
Ch. II. Martingales --
Ch. III. Markov Processes --
Ch. IV. Stochastic Integration --
Ch. V. Representation of Martingales --
Ch. VI. Local Times --
Ch. VII. Generators and Time Reversal --
Ch. VIII. Girsanov's Theorem and First Applications --
Ch. IX. Stochastic Differential Equations --
Ch. X. Additive Functionals of Brownian Motion --
Ch. XI. Bessel Processes and Ray-Knight Theorems --
Ch. XII. Excursions --
Ch. XIII. Limit Theorems in Distribution.

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.

https://link.springer.com/book/10.1007/978-3-662-06400-9

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