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

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. Diffusions, Markov Processes, and Martingales: Volume 1. In this book, which is basically self-contained, the following topics are treated thoroughly: Brownian motion as a Gaussian process, Brownian motion as a Markov process, and Brownian motion as a Continuous Distributions - Probability Examples c-6 Related topics which are treated include Markov chains, renewal theory, the martingale problem, Itô calculus, cylindrical measures, and ergodic theory. 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. GO Continuous martingales and Brownian motion. Author: Daniel Revuz, Marc Yor Type: eBook. Moreover, every continuous martingale is just brownian motion with a different clock. Continuous martingales and Brownian motion, Revuz D., Yor M. Amazon.com: Handbook of Brownian Motion - Facts and Formulae. North Holland (Second edition, 1988). [ReYo98] D.Revuz, M.Yor, Continuous Martingales and Brownian Motion, Grundlehren der mathematischen Wissenschaften, 3rd edition, Springer, 1998. Whence, the entire theory of stochastic calculus is built around brownian motion. Mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$. Continuous martingales and Brownian motion. Yor : Continuous martingales and Brownian motion. Description for Contuous Martgales and Brownian Motion REPOST. [7] [法] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren der. Watanabe : Stochastic differential equations and diffusion processes. Language: English Released: 2004.