Continuous martingales and brownian motion by Daniel Revuz and Mark Yor, Springer-Verlag; New York (1991), 533 pp., $98.00, ISBN 0-387-52167-4. Brownian motion and stochastic calculus. Graduate texts in mathematics 113 , by I. Karatzas and S. E. Shreve. Springer-Verlag 1991 (2nd edition). ISBN 0-387-96535-1 * *Review commissioned by M. H. A. Davis . Stochastic integration and differential equations by Philip Portter, Springer-Verlag, New York (1990), 302 pp. $49.00, ISBN 0-387-50996-8.
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Sharpe et al. (1993) studied this question.