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Continuous martingales and Brownian motion by Daniel Revuz, Marc Yor

Continuous martingales and Brownian motion Daniel Revuz, Marc Yor ebook
Page: 637
Publisher: Springer
ISBN: 3540643257, 9783540643258
Format: djvu

GO Continuous martingales and Brownian motion. Be a continuous local martingale such that M_0=0 and such that for every t \ge 0 , \langle M \rangle_t =t . Continuous martingales and Brownian motion. The process (M_t)_{t \ge 0} is a standard Brownian motion. Whence, the entire theory of stochastic calculus is built around brownian motion. Moreover, every continuous martingale is just brownian motion with a different clock. Of facts and formulae associated Brownian motion. Probability and its Applications Continuous martingales and brownian motion Continuous martingales and brownian motion,D. Language: English Released: 2004. Let N_t=e^{i\lambda M_t +\frac{1}{ . Author: Daniel Revuz, Marc Yor Type: eBook.