Jean-François Le Gall

'Brownian Motion, Martingales, and Stochastic Calculus'

Bog | Engelsk

This book offers a rigorous and self-contained presentation of stochastic integration and stochastic calculus within the general framework of continuous semimartingales. The main tools of stochastic calculus, including Itôs formula, the optional stopping

'Measure Theory, Probability, and Stochastic Processes'

Bog | Engelsk

This textbook introduces readers to the fundamental notions of modern probability theory. The only prerequisite is a working knowledge in real analysis. Highlighting the connections between martingales and Markov chains on one hand, and Brownian motion an