E-Book, Englisch, Band 293, 602 Seiten, eBook
Revuz / Yor Continuous Martingales and Brownian Motion
3rd Auflage 1999
ISBN: 978-3-662-06400-9
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, Band 293, 602 Seiten, eBook
Reihe: Grundlehren der mathematischen Wissenschaften
ISBN: 978-3-662-06400-9
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
"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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
