Continuous Martingales and Brownian motion
Bewaard in:
| Hoofdauteurs: | , |
|---|---|
| Formaat: | Livre papier |
| Taal: | Anglais |
| Gepubliceerd in: |
Berlin :
Springer
C 1999.
|
| Editie: | 3rd edition. |
| Reeks: | Grundlehren der mathematischen Wissenschaften
293 |
| Onderwerpen: | |
| Autres localisations: | Voir dans le Sudoc |
Inhoudsopgave:
- Preliminaries. Introduction
- Martingales
- Markov Processes
- Stochastic Integration
- Representation of Martingales
- Local Times
- Generators and Time Reversal
- Girsanov's Theorem and First Applications
- Stochastic Differential Equations
- Additive Functionals of Brownian Motion
- Bessel Processes and Ray-Knight Theorems
- Excursions
- Limit Theorems in Distribution
- Appendix
- Bibliography
- Index of Notation
- Index of Terms
- Catalogue