Continuous Martingales and Brownian Motion
12%
off

Continuous Martingales and Brownian Motion

4.33 (6 ratings by Goodreads)
By (author)  , By (author) 

Free delivery worldwide

Available. Dispatched from the UK in 2 business days
When will my order arrive?

Description

"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.
show more

Product details

  • Hardback | 602 pages
  • 155 x 235 x 43.18mm | 2,320g
  • Springer-Verlag Berlin and Heidelberg GmbH & Co. K
  • Berlin, Germany
  • English
  • Revised
  • 3rd ed. 1999. Corr. 3rd printing 2004
  • XIII, 602 p.
  • 3540643257
  • 9783540643258
  • 1,827,679

Table of contents

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.
show more

Review Text

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. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... 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..." Bull.L.M.S. 24, 4 (1992)

From the reviews of the third edition:

"The authors have revised the second edition of their fundamental and impressive monograph on Brownian motion and continuous martingales ... . The presentation of this book is unique in the sense that a concise and well-written text is complemented by a long series of detailed exercises. ... This third edition contains some additional exercises related to recent advances in the subject. ... is a valuable update of this basic reference book, which has been very helpful for researchers and students ... ." (David Nualart, Zentralblatt MATH, Vol. 1087, 2006)
show more

Review quote

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. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... 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..." Bull.L.M.S. 24, 4 (1992)


From the reviews of the third edition:





"The authors have revised the second edition of their fundamental and impressive monograph on Brownian motion and continuous martingales ... . The presentation of this book is unique in the sense that a concise and well-written text is complemented by a long series of detailed exercises. ... This third edition contains some additional exercises related to recent advances in the subject. ... is a valuable update of this basic reference book, which has been very helpful for researchers and students ... ." (David Nualart, Zentralblatt MATH, Vol. 1087, 2006)
show more

Rating details

6 ratings
4.33 out of 5 stars
5 50% (3)
4 33% (2)
3 17% (1)
2 0% (0)
1 0% (0)
Book ratings by Goodreads
Goodreads is the world's largest site for readers with over 50 million reviews. We're featuring millions of their reader ratings on our book pages to help you find your new favourite book. Close X