ENGLISH

Aspects of Brownian motion

By Marc Yor , Roger Mansuy

Book information

Publisher
Springer
Year
2008
ISBN
3540223479, 9783540223474
Open Library ID
OL9349412M
Language
english
Format
PDF
Filesize
1 MB (1280150 bytes)
Series
Universitext
Edition
1
Pages
204\204
Library
Kolxo3
Time added
2009-07-20 03:45:11

Description

Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this book is on special classes of such Brownian functionals as: - Gaussian subspaces of the Gaussian space of Brownian motion; - Brownian quadratic funtionals; - Brownian local times, - Exponential functionals of Brownian motion with drift; - Winding number of one or several Brownian motions around one or several points or a straight line, or curves; - Time spent by Brownian motion below a multiple of its one-sided supremum. Besides its obvious audience of students and lecturers the book also addresses the interests of researchers from core probability theory out to applied fields such as polymer physics and mathematical finance.

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