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Cover......Page 1 Title Page......Page 3 Copyright Page......Page 4 Preface......Page 5 Contents......Page 9 1.1 Definition and Construction......Page 13 1.2 The Markov Property......Page 19 1.3 The Right Continuous Filtration, Blumenthal's 0-1 Law......Page 23 1.4 Stopping Times......Page 29 1.5 The Strong Markov Property......Page 33 1.6 Martingale Properties of Brownian Motion......Page 37 1.7 Hitting Probabilities, Recurrence, and Transience......Page 39 1.8 The Potential Kernels......Page 42 1.9 Brownian Motion in a Half Space......Page 44 1.10 Exit Distributions for the Sphere......Page 48 1.11 Occupation Times for the Sphere......Page 51 Notes on Chapter 1......Page 55 2.1 Integration w.r.t. Brownian Motion......Page 56 2.2 Integration w.r.t. Discrete Martingales......Page 60 2.3 The Basic Ingredients for Our Stochastic Integral......Page 62 2.4 The Variance and Covariance of Continuous Local Martingales......Page 64 2.5 Integration w.r.t. Continuous Local Martingales......Page 67 2.6 The Kunita-Watanabe Inequality......Page 71 2.7 Stochastic Differentials, the Associative Law......Page 74 2.8 Change of Variables, Ito's Formula......Page 76 2.9 Extension

Who reads Brownian Motion and Martingales in Analysis (Wadsworth & Brooks/Cole Mathematics Series)?

Author

Richard Durrett

Publisher

Wadsworth Pub Co

Published

1984

Language

EN

ISBN

9780534030650

Category

science

Subjects

Mathematics, Science, Stem

Rating

4.3 / 5 (2 ratings)

Updated

2026-03-14