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Continuous Martingales and Brownian Motion

Continuous Martingales and Brownian Motion

Paperback

Series: Grundlehren Der Mathematischen Wissenschaften, Book 293

Probability & Statistics

ISBN10: 3642084001
ISBN13: 9783642084003
Publisher: Springer
Published: Dec 1 2010
Pages: 602
Weight: 1.89
Height: 1.25 Width: 6.14 Depth: 9.21
Language: English
From the reviews: 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...

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Revuz, Daniel

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Probability & Statistics