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

The process (M_t)_{t \ge 0} is a standard Brownian motion. Yor : Continuous martingales and Brownian motion. North Holland (Second edition, 1988). Let N_t=e^{i\lambda M_t +\frac{1}{ . Watanabe : Stochastic differential equations and diffusion processes. 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. Be a continuous local martingale such that M_0=0 and such that for every t \ge 0 , \langle M \rangle_t =t . 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. GO Continuous martingales and Brownian motion. Author: Daniel Revuz, Marc Yor Type: eBook. Language: English Released: 2004. Description for Contuous Martgales and Brownian Motion REPOST. Continuous martingales and Brownian motion.