Stochastic Calculus

DOI10.1201/9780203738283zbMath0856.60002OpenAlexW4241281051MaRDI QIDQ4889556

Publication date: 14 August 1996

Full work available at URL: https://doi.org/10.1201/9780203738283

Brownian motion tightness Green function Feynman-Kac formula Girsanov's theorem Prokhorov's theorem Markov properties Donsker's theorem Burkholder-Davis-Gundy inequalities Meyer-Tanaka formula embedded Harris chains

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Stochastic analysis (60Hxx)

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