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☆☆☆☆☆

瑞韦兹（Revuz.D） 著

出版社： 世界图书出版公司

ISBN：9787506291934

版次：1

商品编码：10175895

包装：平装

开本：24开

出版时间：2008-03-01

页数：606

正文语种：英语

编辑推荐

　　每一部分的结束都有好多补充的练习题，一方面这些习题可以很好的帮助读者提高对这《连续鞅和布朗运动》中引入的新观点的理解。另外一方面这些练习也是对《连续鞅和布朗运动》内容的丰富和完备化。

内容简介

　　《连续鞅和布朗运动》是一部很经典的讲述随机过程及布朗运动的教材（全英文版）。其旨在尽可能详细的向概率专家介绍尽可能多的有关布朗运动的观点、技巧和方法。自从1991年这《连续鞅和布朗运动》的第一版本问世以来，有关布朗运动和相关的随机过程一直是人们研究和讨论的热点。布朗运动是许多典型的概率问题连续鞅、高斯过程、马尔科夫过程甚至更特殊的具有独立增量的过程的交叉点。大量新的方法都能够成功的应用于它的研究，新的版本也就应运而生。《连续鞅和布朗运动》在第一章引入布朗运动后，以后的各章都是具体在讲述某一种特定的方法或者观点。在这些方法中贯穿于《连续鞅和布朗运动》始终的是随机积分以及强有力的游程理论。

目录

Chapter 0.Preliminaries
§1.Basic Notation
§2.Monotone Class Theorem
§3.Completion
§4.Functions of Finite Variation and Stieltjes Integrals
§5.Weak Convergence in Metric Spaces
§6.Gaussian and Other Random Variables

ChapterⅠ.Introduction
§1.Examples of Stochastic Processes.Brownian Motion
§2.Local Properties of Brownian Paths
§3.Canonical Processes and Gaussian Processes
§4.Filtrations and Stopping Times
Notes and Comments

ChapterⅡ.Martingales
§1.Definitions， Maximal Inequalities and Applications
§2.Convergence and Regularization Theorems
§3.Optional Stopping Theorem
Notes and Comments

ChapterⅢ.Markov Processes
§1.Basic Definitions
§2.Feller Processes
§3.Strong Markov Property
§4.Summary of Results on Levy Processes
Notes and Comments

ChapterⅣ.Stochastic Integration
§1.Quadratic Variations
§2.Stochastic Integrals
§3.Itos Formula and First Applications
§4.Burkholder-Davis-Gundy Inequalities
§5.Predictable Processes
Notes and Comments

ChapterⅤ.Representation of Martingales
§1.Continuous Martingales as Time-changed Brownian Motions
§2.Conformal Martingales and Planar Brownian Motion
§3.Brownian Martingales
§4.Integral Representations
Notes and Comments

ChapterⅥ.Local Times
§1.Definition and First Properties
§2.The Local Time of Brownian Motion
§3.The Three-Dimensional Bessel Process
§4.First Order Calculus
§5.The Skorokhod Stopping Problem
Notes and Comments

ChapterⅦ.Generators and Time Reversal
§1.Infinitesimal Generators.
§2.Diffusions and Ito Processes
§3.Linear Continuous Markov Processes
§4.Time Reversal and Applications
Notes and Comments

ChapterⅧ.Girsanovs Theorem and First Applications
§1.Girsanovs Theorem
§2.Application of Girsanovs Theorem to the Study of Wieners Space
§3.Functionals and Transformations of Diffusion Processes
Notes and Comments

ChapterⅨ.Stochastic Differential Equations
§1.Formal Definitions and Uniqueness
§2.Existence and Uniqueness in the Case of Lipschitz Coefficients
§3.The Case of Holder Coefficients in Dimension One
Notes and Comments

ChapterⅩ.Additive Functionals of Brownian Motion
§1.General Definitions
§2.Representation Theorem for Additive Functionals of Linear Brownian Motion
§3.Ergodic Theorems for Additive Functionals
§4.Asymptotic Results for the Planar Brownian Motion
Notes and Comments

ChapterⅪ.Bessel Processes and Ray-Knight Theorems
§1.Bessel Processes
§2.Ray-Knight Theorems
§3.Bessel Bridges
Notes and Comments

ChapterⅫ.Excursions
§1.Prerequisites on Poisson Point Processes
§2.The Excursion Process of Brownian Motion
§3.Excursions Straddling a Given Time
§4.Descriptions of Itos Measure and Applications
Notes and Comments

Chapter XIII.Limit Theorems in Distribution
§1.Convergence in Distribution
§2.Asymptotic Behavior of Additive Functionals of Brownian Motion
§3.Asymptotic Properties of Planar Brownian Motion

Notes and Comments
Appendix
§1.Gronwalls 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

Bibliography
Index of Notation
Index of Terms
Catalogue

前言/序言

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概率论中，鞅的概念是由保羅·皮埃爾·萊維（Paul Pierre Lévy）提出。鞅这个词本身，是来源于法国的一个叫马提克（Martique）的小镇，该小镇的居民以小气而著称。据说他们下周要花的一点小钱，估计起来最有可能等于他们今天花的钱。莱维正是从马提克小镇居民的小气习性中受到启发，创立了建立在最小气原理的数学概念之上的鞅方法的最初概念。而这一理论的初期基础理论的发展均是由约瑟夫·利奧·杜布（Joseph Leo Doob）完成。完成这些工作的部分动机是为了表明成功的投注策略不可能存在。　鞅是关于金融资产价格的最古老的模型，它起源于赌博业和概率论，若价格随机过程{P(t+1）}满足下述条件：．

评分☆☆☆☆☆

连续鞅的经典教材，springer数学系列太强大了

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　　E(P(t+1）∣P(t)，P(t-1），……)=P（t)也即是E(P(t+1）-P(t)∣P(t)，P(t-1），……)=0

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很好，印刷质量不错，喜欢

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