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

The martingale representation theorem states that any martingale adapted with respect to a Brownian motion can be expressed as a stochastic integral with respect to the same Brownian motion. Watanabe : Stochastic differential equations and diffusion processes. North Holland (Second edition, 1988). 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 . Description for Contuous Martgales and Brownian Motion REPOST. Mathematischen Wissenschaften),Springer-Verlag, 3 edition ,January 15, 1999, ￥106.00$. Of facts and formulae associated Brownian motion. Yor : Continuous martingales and Brownian motion. [7] [法] Daniel Revuz, Marc Yor, Continuous Martingales and Brownian Motion (Grundlehren der. Let N_t=e^{i\lambda M_t +\frac{1}{ . Probability and its Applications Continuous martingales and brownian motion Continuous martingales and brownian motion,D.