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Continuous Martingales and Brownian Motion [[electronic resource] /] / by Daniel Revuz, Marc Yor
| Continuous Martingales and Brownian Motion [[electronic resource] /] / by Daniel Revuz, Marc Yor |
| Autore | Revuz Daniel |
| Edizione | [3rd ed. 1999.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1999 |
| Descrizione fisica | 1 online resource (XIII, 602 p.) |
| Disciplina | 519.2/87 |
| Collana | Grundlehren der mathematischen Wissenschaften, A Series of Comprehensive Studies in Mathematics |
| Soggetto topico |
Probabilities
Probability Theory and Stochastic Processes |
| ISBN | 3-662-06400-6 |
| Classificazione |
60G44
60J60 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 0. Preliminaries -- I. Introduction -- II. Martingales -- III. Markov Processes -- IV. Stochastic Integration -- V. Representation of Martingales -- VI. Local Times -- VII. Generators and Time Reversal -- VIII. Girsanov’s Theorem and First Applications -- IX. Stochastic Differential Equations -- X. Additive Functionals of Brownian Motion -- XI. Bessel Processes and Ray-Knight Theorems -- XII. Excursions -- XIII. Limit Theorems in Distribution -- §1. Gronwall’s Lemma -- §2. Distributions -- §3. Convex Functions -- §4. Hausdorff Measures and Dimension -- §5. Ergodic Theory -- §6. Probabilities on Function Spaces -- §7. Bessel Functions -- §8. Sturm-Liouville Equation -- Index of Notation -- Index of Terms -- Catalogue. |
| Record Nr. | UNINA-9910480707703321 |
Revuz Daniel
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Continuous Martingales and Brownian Motion [[electronic resource] /] / by Daniel Revuz, Marc Yor
| Continuous Martingales and Brownian Motion [[electronic resource] /] / by Daniel Revuz, Marc Yor |
| Autore | Revuz Daniel |
| Edizione | [3rd ed. 1999.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1999 |
| Descrizione fisica | 1 online resource (XIII, 602 p.) |
| Disciplina | 519.2/87 |
| Collana | Grundlehren der mathematischen Wissenschaften, A Series of Comprehensive Studies in Mathematics |
| Soggetto topico |
Probabilities
Probability Theory and Stochastic Processes |
| ISBN | 3-662-06400-6 |
| Classificazione |
60G44
60J60 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 0. Preliminaries -- I. Introduction -- II. Martingales -- III. Markov Processes -- IV. Stochastic Integration -- V. Representation of Martingales -- VI. Local Times -- VII. Generators and Time Reversal -- VIII. Girsanov’s Theorem and First Applications -- IX. Stochastic Differential Equations -- X. Additive Functionals of Brownian Motion -- XI. Bessel Processes and Ray-Knight Theorems -- XII. Excursions -- XIII. Limit Theorems in Distribution -- §1. Gronwall’s Lemma -- §2. Distributions -- §3. Convex Functions -- §4. Hausdorff Measures and Dimension -- §5. Ergodic Theory -- §6. Probabilities on Function Spaces -- §7. Bessel Functions -- §8. Sturm-Liouville Equation -- Index of Notation -- Index of Terms -- Catalogue. |
| Record Nr. | UNINA-9910792490803321 |
|
Revuz Daniel
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Continuous Martingales and Brownian Motion / / by Daniel Revuz, Marc Yor
| Continuous Martingales and Brownian Motion / / by Daniel Revuz, Marc Yor |
| Autore | Revuz Daniel |
| Edizione | [3rd ed. 1999.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1999 |
| Descrizione fisica | 1 online resource (XIII, 602 p.) |
| Disciplina | 519.2/87 |
| Collana | Grundlehren der mathematischen Wissenschaften, A Series of Comprehensive Studies in Mathematics |
| Soggetto topico |
Probabilities
Probability Theory and Stochastic Processes |
| ISBN | 3-662-06400-6 |
| Classificazione |
60G44
60J60 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | 0. Preliminaries -- I. Introduction -- II. Martingales -- III. Markov Processes -- IV. Stochastic Integration -- V. Representation of Martingales -- VI. Local Times -- VII. Generators and Time Reversal -- VIII. Girsanov’s Theorem and First Applications -- IX. Stochastic Differential Equations -- X. Additive Functionals of Brownian Motion -- XI. Bessel Processes and Ray-Knight Theorems -- XII. Excursions -- XIII. Limit Theorems in Distribution -- §1. Gronwall’s Lemma -- §2. Distributions -- §3. Convex Functions -- §4. Hausdorff Measures and Dimension -- §5. Ergodic Theory -- §6. Probabilities on Function Spaces -- §7. Bessel Functions -- §8. Sturm-Liouville Equation -- Index of Notation -- Index of Terms -- Catalogue. |
| Record Nr. | UNINA-9910810837903321 |
|
Revuz Daniel
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 1999 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Penalising Brownian Paths [[electronic resource] /] / by Bernard Roynette, Marc Yor
| Penalising Brownian Paths [[electronic resource] /] / by Bernard Roynette, Marc Yor |
| Autore | Roynette Bernard |
| Edizione | [1st ed. 2009.] |
| Pubbl/distr/stampa | Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2009 |
| Descrizione fisica | 1 online resource (XIII, 275 p.) |
| Disciplina | 530.475 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico |
Probabilities
Probability Theory and Stochastic Processes |
| Soggetto non controllato |
Brownian motion processes
Martingales (Mathematics) |
| ISBN | 3-540-89699-6 |
| Classificazione |
MAT 604f
MAT 605f MAT 607f SI 850 *60-02 17,1 31.70 60-06 60F99 60G30 60G44 60J25 60J55 60J65 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Some penalisations of theWiener measure -- Feynman-Kac penalisations for Brownian motion -- Penalisations of a Bessel process with dimension d(0 d 2) by a function of the ranked lengths of its excursions -- A general principle and some questions about penalisations. |
| Record Nr. | UNISA-996466477003316 |
|
Roynette Bernard
|
||
| Berlin, Heidelberg : , : Springer Berlin Heidelberg : , : Imprint : Springer, , 2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||
Penalising Brownian paths / / Bernard Roynette, Marc Yor
| Penalising Brownian paths / / Bernard Roynette, Marc Yor |
| Autore | Roynette Bernard |
| Edizione | [1st ed. 2009.] |
| Pubbl/distr/stampa | Berlin, : Springer, c2009 |
| Descrizione fisica | 1 online resource (XIII, 275 p.) |
| Disciplina | 530.475 |
| Altri autori (Persone) | YorMarc |
| Collana | Lecture notes in mathematics |
| Soggetto topico |
Brownian motion processes
Martingales (Mathematics) |
| ISBN | 3-540-89699-6 |
| Classificazione |
MAT 604f
MAT 605f MAT 607f SI 850 *60-02 17,1 31.70 60-06 60F99 60G30 60G44 60J25 60J55 60J65 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Some penalisations of theWiener measure -- Feynman-Kac penalisations for Brownian motion -- Penalisations of a Bessel process with dimension d(0 d 2) by a function of the ranked lengths of its excursions -- A general principle and some questions about penalisations. |
| Record Nr. | UNINA-9910483753603321 |
|
Roynette Bernard
|
||
| Berlin, : Springer, c2009 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Two-parameter martingales and their quadratic variation / / Peter Imkeller
| Two-parameter martingales and their quadratic variation / / Peter Imkeller |
| Autore | Imkeller Peter <1951-> |
| Edizione | [1st ed. 1988.] |
| Pubbl/distr/stampa | Berlin ; ; Heidelberg : , : Springer-Verlag, , 1988 |
| Descrizione fisica | 1 online resource (IV, 177 p.) |
| Disciplina | 519.287 |
| Collana | Lecture Notes in Mathematics |
| Soggetto topico | Martingales (Mathematics) |
| ISBN | 3-540-39148-7 |
| Classificazione |
60G42
60G44 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Notations and conventions -- Basics; processes depending on a parameter -- Two-parameter processes -- Jumps of martingales and their compensation -- Quadratic variation and structure of martingales. |
| Record Nr. | UNISA-996466507703316 |
|
Imkeller Peter <1951->
|
||
| Berlin ; ; Heidelberg : , : Springer-Verlag, , 1988 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. di Salerno | ||
| ||