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Aspects of Brownian Motion (Universitext)
Mansuy, Roger, Yor, Marc
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Description for Aspects of Brownian Motion (Universitext)
Paperback.
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 ... Read more
Show LessProduct Details
Format
Paperback
Publication date
2008
Publisher
Springer
Number of pages
216
Condition
New
Number of Pages
200
Place of Publication
Berlin, Germany
ISBN
9783540223474
SKU
V9783540223474
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Mansuy, Roger, Yor, Marc
MARC YOR has been Professor at the Laboratoire de Probabilités et Modèles Aléatoires at the Université Pierre et Marie Curie, Paris, since 1981, and a member of the Académie des Sciences de Paris since 2003. His research interests – which are well illustrated in the present book – bear upon properties of Brownian functionals, either for pure or applied purposes. ... Read more
Reviews for Aspects of Brownian Motion (Universitext)
From the reviews: “The reader will marvel at the authors’ knowledge and expertise. … the book makes clear that although the mathematical study of Brownian motion is almost one hundred years old, the directions for continued study and new investigations remain unlimited.” (Michael B. Marcus, Bulletin of the American Mathematical Society, Vol. 48 (3), July, 2011)