Daniel Revuz,
Marc Yor
Continuous Martingales and Brownian Motion
Paperback Engels 2010 3e druk 9783642084003
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
"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....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." –BULLETIN OF THE L.M.S.
Specificaties
ISBN13:9783642084003
Taal:Engels
Bindwijze:paperback
Aantal pagina's:602
Uitgever:Springer Berlin Heidelberg
Druk:3
Lezersrecensies
Wees de eerste die een lezersrecensie schrijft!
Inhoudsopgave
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. Girsanov’s 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.- §1. Gronwall’s Lemma.- §2. Distributions.- §3. Convex Functions.- §4. Hausdorff Measures and Dimension.- §5. Ergodic Theory.- §6. Probabilities on Function Spaces.- §7. Bessel Functions.- §8. Sturm-Liouville Equation.- Index of Notation.- Index of Terms.- Catalogue.
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