Continuous martingales and brownian motion : third edition

By: Daniel RevuzMaterial type: TextTextSeries: Grundlehren der mathematischen Wissenschaften ; Vol. 293Publication details: Heidelberg: Springer-Verlag, [c1991]Edition: 3rd edDescription: 606 pISBN: 9783540643258LOC classification: QA274.5
Contents:
1. Introduction 2. Martingales 3. Markov Processes 4. Stochastic Integration 5. Representation of Martingales 6. Local Times 7. Generators and Time Reversal 8. Girsanov’s Theorem and First Applications 9. Stochastic Differential Equations 10. Additive Functionals of Brownian Motion 11. Bessel Processes and Ray-Knight Theorems 12. Excursions 13. Limit Theorems in Distribution
Summary: 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. --- summary provided by publisher
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Item type Current library Collection Shelving location Call number Status Notes Date due Barcode Item holds
Book Book ICTS
Mathematic Rack No 5 QA274.5 (Browse shelf (Opens below)) Available Billno: IN00 2054; Billdate: 04.07.2018 01212
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1. Introduction
2. Martingales
3. Markov Processes
4. Stochastic Integration
5. Representation of Martingales
6. Local Times
7. Generators and Time Reversal
8. Girsanov’s Theorem and First Applications
9. Stochastic Differential Equations
10. Additive Functionals of Brownian Motion
11. Bessel Processes and Ray-Knight Theorems
12. Excursions
13. Limit Theorems in Distribution

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. --- summary provided by publisher

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