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From the reviews: ""This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises, and throwing out challenging remarks about areas awaiting further research..."" Bull.L.M.S. 24, 4 (1992) Since the first edition in 1991, an impressive variety of advances has been made in relation to the material of this book, and these are reflected in the successive editions.

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Reviews

"This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises, and throwing out challenging remarks about areas awaiting further research..."" Bull.L.M.S. 24, 4 (1992) From the reviews of the third edition: ""The authors have revised the second edition of their fundamental and impressive monograph on Brownian motion and continuous martingales … . The presentation of this book is unique in the sense that a concise and well-written text is complemented by a long series of detailed exercises. … This third edition contains some additional exercises related to recent advances in the subject. … is a valuable update of this basic reference book, which has been very helpful for researchers and students … ."" (David Nualart, Zentralblatt MATH, Vol. 1087, 2006)"

Dieses Buch kann mit Recht als eines der zentralen Referenzwerke auf dem Gebiet der Brown'schen Bewegung und Fragestellungen, die damit in Zusammenhang stehen, gelten. Der Ruf der Autoren allein burgt schon dafur, und das Buch selbst besticht durch eine klare und konzise Darstellung, die von klassischen Resultaten im Stil von Paul Levy zu modernen Betrachtungsweisen fuhrt. Besondere Erwahnung verdienen die eingestreuten Aubungsaufgaben, die in idealer Weise die Prasentation der allgemeinen Theorie erganzen. Internationale Mathematische Nachrichten, Nr. 184, August 2000

Dieses Buch kann mit Recht als eines der zentralen Referenzwerke auf dem Gebiet der Brown'schen Bewegung und Fragestellungen, die damit in Zusammenhang stehen, gelten. Der Ruf der Autoren allein burgt schon dafur, und das Buch selbst besticht durch eine klare und konzise Darstellung, die von klassischen Resultaten im Stil von Paul Levy zu modernen Betrachtungsweisen fuhrt. Besondere Erwahnung verdienen die eingestreuten Aubungsaufgaben, die in idealer Weise die Prasentation der allgemeinen Theorie erganzen. Internationale Mathematische Nachrichten, Nr. 184, August 2000

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