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by Daniel Revuz,Marc Yor

  • ISBN: 3642084001
  • Category: Math & Science
  • Author: Daniel Revuz,Marc Yor
  • Subcategory: Mathematics
  • Other formats: doc lit azw rtf
  • Language: English
  • Publisher: Springer (December 1, 2010)
  • Pages: 602 pages
  • FB2 size: 1423 kb
  • EPUB size: 1461 kb
  • Rating: 4.7
  • Votes: 257
Download Continuous Martingales and Brownian Motion (Grundlehren der mathematischen Wissenschaften) fb2

Read instantly in your browser. 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.

Read instantly in your browser. by Daniel Revuz (Author), Marc Yor (Author). ISBN-13: 978-3540643258. 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.

Part of the Grundlehren der mathematischen Wissenschaften book series (GL, volume 293). Daniel Revuz, Marc Yor. Pages 1-14. Bessel process Brownian motion Ergodic theory Markov process Martingale Martingales Stochastic Integration Stochastic Processes local time. Pages 15-49. Pages 51-77. Pages 79-117. Stochastic Integration. Pages 119-178. Representation of Martingales. Pages 179-220. Authors and affiliations.

Daniel Revuz, Marc Yor. Springer Science & Business Media, 9 мар. 2013 . Martingales and Brownian Motion Grundlehren der mathematischen Wissenschaften.

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. Continuous Martingales and Brownian Motion Grundlehren der mathematischen Wissenschaften (Том 293).

Электронная книга "Continuous Martingales and Brownian Motion", Daniel Revuz, Marc Yor. Эту книгу можно прочитать в Google Play Книгах на компьютере, а также на устройствах Android и iOS. Выделяйте текст, добавляйте закладки и делайте замет. Выделяйте текст, добавляйте закладки и делайте заметки, скачав книгу "Continuous Martingales and Brownian Motion" для чтения в офлайн-режиме. Springer Science & Business Media, 7 сент Martingales and Brownian Motion Grundlehren der mathematischen Wissenschaften. Springer Science & Business Media, 7 сент.

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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 . 2 Conformal Martingales and Planar Brownian Motion. 189. 4 Integral Representations. 209. 2 The Local Time of Brownian Motion.

Daniel Revuz; Marc Yor Continuous Martingales and Brownian Motion (Grundlehren Der .

Daniel Revuz; Marc Yor Continuous Martingales and Brownian Motion (Grundlehren Der Mathematischen Wissenschaften, Vol 293). ISBN 13: 9780387521671. Continuous Martingales and Brownian Motion (Grundlehren Der Mathematischen Wissenschaften, Vol 293). Daniel Revuz; Marc Yor. Hardcover.

"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....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." –BULLETIN OF THE L.M.S.


Reviews about Continuous Martingales and Brownian Motion (Grundlehren der mathematischen Wissenschaften) (3):
Unirtay
Very elegant and well written.
Akinohn
The book covers exactly what the title says, and it does so in great detail.
A very good background in measure theory (which I do not have) and a good background in general probability theory are definitely helpful in understanding the topics and the proofs. Mostly, the authors explain well, why they are doing what they are doing now.

However, particularly in the latter parts of the book, the proofs become more difficult: Instead of filling in the gaps, one reads "it is easy to see that..." or "a moment's reflexion shows..." or...
I feel, that a little more detailed proofs would much enhance the readability of this book - at the expense of maybe 15 more pages only. This is my reason for four stars only.

The book has many excercises, which I did not attempt, as no solutions are given. Sometimes the result of an excercise is used in a proof, mimimally for those excercises proofs should have been given.

I would definitely not recommend this book as a first book on stochastic processes. Particularly the book by Oksendal, and even the book by Karatzas and Shreve are easier to read.

The book contains very few typos! (I read the version printed in China)
Samowar
This was the text of my second (graduate) course on probability. While going through the text is, with difficulty, manageable with the help of a teacher, I cannot even imagine doing it on my own. The level of difficulty in reading is roughly the same as that of Karatzas and Shreve, though at times the latter is more readable.

There is a trade-off in learning any new theory. You can get bogged down with the details of every new thing you learn, and move very slowly. While you learn things in detail this way, you miss out on the excitement of learning something new, and perhaps even fail to develop the capability of discerning which concepts are key and which concepts are peripheral to udnerstanding.

That was my main complaint with Karatzas and Shreve, and it is the same with Revuz and Yor. You can spend DAYS doing the exercises of just Chapter 1. If you think you will remain excited about learning stochastic calculus at a snail's pace for about a year, then this book is for you. What is worse, doing those exercises is absolutely important - some extremely crucial concepts are left as exercises. I shudder to think what the reader who does not have the advantage of having a teacher to discuss with would do when (s)he stumbles upon these exercises. I suspect the only option would be to accept the result and move on.

I cite an example to prove my point: Exercise 1.4.6 is a crucial concept about stopping times. I believe most people who are reading this book would have done a course that deals with stopping times in discrete time settings. Karatzas and Shreve does contain the proofs of "Exercise 1.4.6" of Revuz and Yor, and the moral there is that the techniques you learnt for discrete time processes do not carry over directly to continuous time. So, if you pass on Exercise 1.4.6 because you could not solve it on your own, you miss out on an extremely useful technique, and therefore your transition from discrete time to continuous time is at least that much incomplete.

If you are willing to spend a year and a half on stochastic calculus, I would recommend getting a bird's eye view first with something like Oksendal, and then coming down to the details that are omitted there with books like Revuz and Yor and Karatzas and Shreve.

I think that is a better, more exciting, albeit slower way of learning.

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