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

Continuous Martingales and Brownian Motion book download. Moreover, every continuous martingale is just brownian motion with a different clock. Volume 293, Grundlehren der mathematischen Wissenschaften. Yor, Continuous Martingales and Brownian Motion, Third Edition Corrected. Download Continuous Martingales and Brownian Motion Revuz, 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. Whence, the entire theory of stochastic calculus is built around brownian motion. 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. Continuous martingales and Brownian motion, Revuz D., Yor M.