Brownian motion martingales and stochastic calculus

From MaRDI portal
Publication:444329

DOI10.1007/978-3-642-31898-6zbMath1291.60002OpenAlexW635660397MaRDI QIDQ444329

Jean-François Le Gall

Publication date: 14 August 2012

Published in: Mathématiques \& Applications (Berlin) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-31898-6




Related Items (21)

A modified Euler–Maruyama method for Riemann–Liouville stochastic fractional integro-differential equationsBidimensional random effect estimation in mixed stochastic differential modelForests, cumulants, martingalesKullback--Leibler Approximation for Probability Measures on Infinite Dimensional SpacesUnnamed ItemZero kinetic undercooling limit in the supercooled Stefan problemPathwise vs. path-by-path uniquenessWeak noise and non-hyperbolic unstable fixed points: sharp estimates on transit and exit timesRespondent-driven sampling on sparse Erdös-Rényi graphsOn the rôle of singular functions in extending the probabilistic symbol to its most general classBoundary traces of shift-invariant diffusions in half-planeConditional quantiles: an operator-theoretical approachNotes on a certain local time and excursions of simple symmetric random walksInert drift system in a viscous fluid: Steady state asymptotics and exponential ergodicityMean-field reflected backward stochastic differential equationsNevanlinna theory through the Brownian motionIntroduction to the stochastic Burgers equation and BurgulenceOn the convergence of massive loop-erased random walks to massive SLE(2) curvesA characterization of equivalent martingale measures in a renewal risk model with applications to premium calculation principlesPropagation of chaos: a review of models, methods and applications. I: Models and methodsForbidden Transactions and Black Markets




This page was built for publication: Brownian motion martingales and stochastic calculus