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

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. Mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$. Continuous martingales and Brownian motion, Revuz D., Yor M. 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. Product Description PThis is a magnificent book! Amazon.com: Handbook of Brownian Motion - Facts and Formulae. Diffusions, Markov Processes, and Martingales: Volume 1. [ReYo98] D.Revuz, M.Yor, Continuous Martingales and Brownian Motion, Grundlehren der mathematischen Wissenschaften, 3rd edition, Springer, 1998. 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. Description for Contuous Martgales and Brownian Motion REPOST. Brownian Motion and Martingales in Continuous Time Wiley: Introduction to Probability and Stochastic Processes with.