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This book chronicles Donald Burkholder's thirty-five year study of martingales and its consequences. Here are some of the highlights.

Pioneering work by Burkholder and Donald Austin on the discrete time martingale square function led to Burkholder and Richard Gundy's proof of inequalities comparing the quadratic variations and maximal functions of continuous martingales, inequalities which are now indispensable tools for stochastic analysis. Part of their proof showed how novel distributional inequalities between the maximal function and quadratic variation lead to inequalities for...

This text is a self-contained and unified approach to Bernstein functions and their subclasses, bringing together old and establishing new connections. Applications of Bernstein functions in different fields of mathematics are given, with special attention to interpretations in probability theory. An extensive list of complete Bernstein functions with their representations is provided.

Bernstein functions appear in various fields of mathematics, e.g. probability theory, potential theory, operator theory, functional analysis and complex analysis - often with different definitions and under different names. Among the synonyms are Laplace exponent' instead of Bernstein function, and complete Bernstein functions are sometimes called Pick functions', Nevanlinna functions' or operator monotone functions'.

This monograph - now in its second revised and extended edition - offers a self-contained and unified approach to Bernstein functions and closely related function...

Stable Levy processes and related stochastic processes play an important role in stochastic modelling in applied sciences, in particular in financial mathematics. This book is about the potential theory of stable stochastic processes. It also deals with related topics, such as the subordinate Brownian motions (including the relativistic process) and Feynman-Kac semigroups generated by certain Schrodinger operators. The authors focus on classes of stable and related processes that contain the Brownian motion as a special case.

This is the first book devoted to the probabilistic...