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

Language: English Released: 2004. 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. May 16, 2011- Probability Reading Group, Warwick - "Local times" based on the book "Continuous martingales and Brownian motion" by D. GO Continuous martingales and Brownian motion. North Holland (Second edition, 1988). Author: Daniel Revuz, Marc Yor Type: eBook. Continuous martingales and Brownian motion. Description for Contuous Martgales and Brownian Motion REPOST. Yor : Continuous martingales and Brownian motion. Volume 293, Grundlehren der mathematischen Wissenschaften. [ReYo98] D.Revuz, M.Yor, Continuous Martingales and Brownian Motion, Grundlehren der mathematischen Wissenschaften, 3rd edition, Springer, 1998. Watanabe : Stochastic differential equations and diffusion processes. 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. Yor, Continuous Martingales and Brownian Motion, Third Edition Corrected. 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.