Brownian motion, martingales, and stochastic calculus /
Jean-Franois Le Gall.
- xiii, 273 pages : illustrations ; 24 cm.
- Graduate texts in mathematics, 274 0072-5285 ; .
- Graduate texts in mathematics ; 274. .
Translated from the French edition published: Berlin: Springer, 2013.
Includes bibliographical references and index.
Gaussian variables and Gaussian processes -- Brownian motion -- Filtrations and martingales -- Continuous semimartingales -- Stochastic integration -- General theory of Markov processes -- Brownian motion and partial differential equations -- Stochastic differential equations -- Local times -- The monotone class lemma -- Discrete martingales -- References.