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Continuous martingales and Brownian motion Daniel Revuz, Marc Yor
Publisher: Springer

Diffusions, Markov Processes, and Martingales: Volume 1. Continuous martingales and Brownian motion. 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. Author: Daniel Revuz, Marc Yor Type: eBook. Brownian Motion and Martingales in Continuous Time Wiley: Introduction to Probability and Stochastic Processes with. [7] [法] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren der. 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. May 16, 2011- Probability Reading Group, Warwick - "Local times" based on the book "Continuous martingales and Brownian motion" by D. Mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$. Product Description PThis is a magnificent book! Amazon.com: Handbook of Brownian Motion - Facts and Formulae. Language: English Released: 2004. Continuous Martingales and Brownian Motion (Grundlehren Der Mathematischen Wissenschaften, Vol 293). Continuous martingales and Brownian motion, Revuz D., Yor M. GO Continuous martingales and Brownian motion.