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

North Holland (Second edition, 1988). Watanabe : Stochastic differential equations and diffusion processes. Moreover, every continuous martingale is just brownian motion with a different clock. Diffusions, Markov Processes, and Martingales: Volume 1. Download Continuous Martingales and Brownian Motion Revuz, M. [7] [法] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren der. Continuous Martingales and Brownian Motion (Grundlehren Der Mathematischen Wissenschaften, Vol 293). Whence, the entire theory of stochastic calculus is built around brownian motion. 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. Amazon.com: Handbook of Brownian Motion - Facts and Formulae. Continuous Martingales and Brownian Motion book download. Mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$. 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. Yor : Continuous martingales and Brownian motion.