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

Hm, it's covered in Yor's book "Continuous martingales and brownian motion" but only as an exercise, I also believe it's present in "Aspects of brownian motion" but I don't have access to this book as of now. Then, to get a solid background in SDE's you can read Revuz, Yor "Continuous Martingales and Brownian Motion" which is more or a less the standard stoch calc book for pure mathematicians. Whence, the entire theory of stochastic calculus is built around brownian motion. North Holland (Second edition, 1988). Yor : Continuous martingales and Brownian motion. [ReYo98] D.Revuz, M.Yor, Continuous Martingales and Brownian Motion, Grundlehren der mathematischen Wissenschaften, 3rd edition, Springer, 1998. Description for Contuous Martgales and Brownian Motion REPOST. Author: Daniel Revuz, Marc Yor Type: eBook. Continuous martingales and Brownian motion. Moreover, every continuous martingale is just brownian motion with a different clock. GO Continuous martingales and Brownian motion. Watanabe : Stochastic differential equations and diffusion processes. Language: English Released: 2004. Brownian Motion and Martingales in Continuous Time Wiley: Introduction to Probability and Stochastic Processes with. Product Description PThis is a magnificent book!