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

Whence, the entire theory of stochastic calculus is built around brownian motion. Continuous martingales and Brownian motion, Revuz D., Yor M. Then, to get a solid background in SDE's you can read Revuz, Yor "Continuous Martingales and Brownian Motion" which is more or a less the standard stoch calc book for pure mathematicians. Probability and its Applications Continuous martingales and brownian motion Continuous martingales and brownian motion,D. Download Continuous Martingales and Brownian Motion Revuz, M. Let N_t=e^{i\lambda M_t +\frac{1}{ . Moreover, every continuous martingale is just brownian motion with a different clock. The process (M_t)_{t \ge 0} is a standard 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 . Of facts and formulae associated Brownian motion. Continuous Martingales and Brownian Motion book download.