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

Continuous martingales and Brownian motion, Revuz D., Yor M. Hm, it's covered in Yor's book "Continuous martingales and brownian motion" but only as an exercise, I also believe it's present in "Aspects of brownian motion" but I don't have access to this book as of now. Continuous Martingales and Brownian Motion (Grundlehren Der Mathematischen Wissenschaften, Vol 293). Mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$. Probability and its Applications Continuous martingales and brownian motion Continuous martingales and brownian motion,D. 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. Description for Contuous Martgales and Brownian Motion REPOST. 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. [7] [法] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren der. The martingale representation theorem states that any martingale adapted with respect to a Brownian motion can be expressed as a stochastic integral with respect to the same Brownian motion. May 16, 2011- Probability Reading Group, Warwick - "Local times" based on the book "Continuous martingales and Brownian motion" by D. [ReYo98] D.Revuz, M.Yor, Continuous Martingales and Brownian Motion, Grundlehren der mathematischen Wissenschaften, 3rd edition, Springer, 1998. Of facts and formulae associated Brownian motion.