Continuous Martingales and Brownian Motion

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Springer Science & Business Media, 1999 - Mathematics - 602 pages
2 Reviews
From the reviews: "This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises, and throwing out challenging remarks about areas awaiting further research..."
Bull.L.M.S. 24, 4 (1992) Since the first edition in 1991, an impressive variety of advances has been made in relation to the material of this book, and these are reflected in the successive editions.
  

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I don't understand why these guys even bothered writing this monograph....

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Probably the best book written on the subject to date.

Contents

VIII
15
IX
26
X
33
XI
41
XII
48
XIII
51
XV
60
XVI
68
LI
338
LII
349
LIII
362
LIV
365
LVI
375
LVII
388
LVIII
399
LIX
401

XVII
77
XVIII
79
XX
88
XXI
102
XXII
114
XXIII
117
XXIV
119
XXVI
137
XXVII
146
XXVIII
160
XXIX
171
XXX
176
XXXI
179
XXXIII
189
XXXIV
198
XXXV
209
XXXVI
216
XXXVII
221
XXXVIII
239
XXXIX
251
XL
260
XLI
269
XLII
277
XLIII
281
XLV
294
XLVI
300
XLVII
313
XLVIII
322
XLIX
325
LX
409
LXI
422
LXII
430
LXIII
436
LXIV
439
LXV
454
LXVI
463
LXVII
469
LXVIII
471
LXIX
480
LXX
488
LXXI
493
LXXII
511
LXXIII
515
LXXIV
522
LXXV
531
LXXVI
541
LXXVII
543
LXXVIII
544
LXXIX
547
LXXX
548
LXXXII
549
LXXXIII
550
LXXXIV
553
LXXXV
595
LXXXVI
599
LXXXVII
605
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Page 572 - On distributions of certain Wiener functional, Trans. Amer. Math. Soc. 65 (1949), 1-13. 2. On some connections between probability theory and differential equations, Proc.
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Page 570 - Poisson point processes attached to Markov processes. Proc. Sixth Berkeley Symp. Math. Stat.
Page 566 - On the distribution of the Hilbert transform of the local time of a symmetric Levy process. Ann.
Page 583 - Bessel processes and infinitely divisible laws', in D. WILLIAMS (ed.): Stochastic Integrals, Vol.

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About the author (1999)

Marc Yor is a Professor in the Laboratoire de Probabilit s et Mod les Al atoires at Universit Pierre et Marie Curie (Paris VI).