Continuous Martingales and Brownian Motion:
Saved in:
| Main Author: | |
|---|---|
| Format: | Electronic eBook |
| Language: | English |
| Published: |
Berlin, Heidelberg
Springer Berlin Heidelberg
1991
|
| Series: | Grundlehren der mathematischen Wissenschaften, A Series of Comprehensive Studies in Mathematics
293 |
| Subjects: | |
| Online Access: | Volltext |
| Item Description: | This book focuses on the probabilistic theory ofBrownian motion. This is a good topic to center a discussion around because Brownian motion is in the intersec tioll of many fundamental classes of processes. It is a continuous martingale, a Gaussian process, a Markov process or more specifically a process with in dependent increments; it can actually be defined, up to simple transformations, as the real-valued, centered process with independent increments and continuous paths. It is therefore no surprise that a vast array of techniques may be success fully applied to its study and we, consequently, chose to organize the book in the following way. After a first chapter where Brownian motion is introduced, each of the following ones is devoted to a new technique or notion and to some of its applications to Brownian motion. Among these techniques, two are of para mount importance: stochastic calculus, the use ofwhich pervades the whole book and the powerful excursion theory, both of which are introduced in a self contained fashion and with a minimum of apparatus. They have made much easier the proofs of many results found in the epoch-making book of Itö and McKean: Diffusion Processes and their Sampie Paths, Springer (1965) |
| Physical Description: | 1 Online-Ressource (IX, 536 p) |
| ISBN: | 9783662217269 9783662217283 |
| ISSN: | 0072-7830 |
| DOI: | 10.1007/978-3-662-21726-9 |
Staff View
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| illustrated | Not Illustrated |
| indexdate | 2024-07-10T01:21:13Z |
| institution | BVB |
| isbn | 9783662217269 9783662217283 |
| issn | 0072-7830 |
| language | English |
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| spelling | Revuz, Daniel Verfasser aut Continuous Martingales and Brownian Motion by Daniel Revuz, Marc Yor Berlin, Heidelberg Springer Berlin Heidelberg 1991 1 Online-Ressource (IX, 536 p) txt rdacontent c rdamedia cr rdacarrier Grundlehren der mathematischen Wissenschaften, A Series of Comprehensive Studies in Mathematics 293 0072-7830 This book focuses on the probabilistic theory ofBrownian motion. This is a good topic to center a discussion around because Brownian motion is in the intersec tioll of many fundamental classes of processes. It is a continuous martingale, a Gaussian process, a Markov process or more specifically a process with in dependent increments; it can actually be defined, up to simple transformations, as the real-valued, centered process with independent increments and continuous paths. It is therefore no surprise that a vast array of techniques may be success fully applied to its study and we, consequently, chose to organize the book in the following way. After a first chapter where Brownian motion is introduced, each of the following ones is devoted to a new technique or notion and to some of its applications to Brownian motion. Among these techniques, two are of para mount importance: stochastic calculus, the use ofwhich pervades the whole book and the powerful excursion theory, both of which are introduced in a self contained fashion and with a minimum of apparatus. They have made much easier the proofs of many results found in the epoch-making book of Itö and McKean: Diffusion Processes and their Sampie Paths, Springer (1965) Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Theoretical, Mathematical and Computational Physics Mathematik Martingal (DE-588)4126466-6 gnd rswk-swf Stochastischer Prozess (DE-588)4057630-9 gnd rswk-swf Brownsche Bewegung (DE-588)4128328-4 gnd rswk-swf Stochastische Analysis (DE-588)4132272-1 gnd rswk-swf Martingaltheorie (DE-588)4168982-3 gnd rswk-swf Brownsche Bewegung (DE-588)4128328-4 s Martingal (DE-588)4126466-6 s 1\p DE-604 Stochastische Analysis (DE-588)4132272-1 s 2\p DE-604 Martingaltheorie (DE-588)4168982-3 s 3\p DE-604 Stochastischer Prozess (DE-588)4057630-9 s 4\p DE-604 Yor, Marc Sonstige oth https://doi.org/10.1007/978-3-662-21726-9 Verlag Volltext 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 2\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 3\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk 4\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Revuz, Daniel Continuous Martingales and Brownian Motion Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Theoretical, Mathematical and Computational Physics Mathematik Martingal (DE-588)4126466-6 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Brownsche Bewegung (DE-588)4128328-4 gnd Stochastische Analysis (DE-588)4132272-1 gnd Martingaltheorie (DE-588)4168982-3 gnd |
| subject_GND | (DE-588)4126466-6 (DE-588)4057630-9 (DE-588)4128328-4 (DE-588)4132272-1 (DE-588)4168982-3 |
| title | Continuous Martingales and Brownian Motion |
| title_auth | Continuous Martingales and Brownian Motion |
| title_exact_search | Continuous Martingales and Brownian Motion |
| title_full | Continuous Martingales and Brownian Motion by Daniel Revuz, Marc Yor |
| title_fullStr | Continuous Martingales and Brownian Motion by Daniel Revuz, Marc Yor |
| title_full_unstemmed | Continuous Martingales and Brownian Motion by Daniel Revuz, Marc Yor |
| title_short | Continuous Martingales and Brownian Motion |
| title_sort | continuous martingales and brownian motion |
| topic | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Theoretical, Mathematical and Computational Physics Mathematik Martingal (DE-588)4126466-6 gnd Stochastischer Prozess (DE-588)4057630-9 gnd Brownsche Bewegung (DE-588)4128328-4 gnd Stochastische Analysis (DE-588)4132272-1 gnd Martingaltheorie (DE-588)4168982-3 gnd |
| topic_facet | Mathematics Distribution (Probability theory) Probability Theory and Stochastic Processes Theoretical, Mathematical and Computational Physics Mathematik Martingal Stochastischer Prozess Brownsche Bewegung Stochastische Analysis Martingaltheorie |
| url | https://doi.org/10.1007/978-3-662-21726-9 |
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