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Some Aspects of Brownian Motion
Marc Yor
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Description for Some Aspects of Brownian Motion
Paperback. Focuses on topics including expansion of filtration formulae; Burkholder-Gundy inequalities up to any random time; martingales which vanish on the zero set of Brownian motion; the Azema-Emery martingales and chaos representation; the filtration of truncated Brownian motion; and, attempts to characterize the Brownian filtration. Series: Lectures in Mathematics. ETH Zurich. Num Pages: 148 pages, 4 black & white illustrations, biography. BIC Classification: PBT. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 234 x 156 x 8. Weight in Grams: 530.
The following notes represent approximately the second half of the lectures I gave in the Nachdiplomvorlesung, in ETH, Zurich, between October 1991 and February 1992, together with the contents of six additional lectures I gave in ETH, in November and December 1993. Part I, the elder brother of the present book [Part II], aimed at the computation, as explicitly as possible, of a number of interesting functionals of Brownian motion. It may be natural that Part II, the younger brother, looks more into the main technique with which Part I was "working", namely: martingales and stochastic calculus. As F. Knight ... Read more
The following notes represent approximately the second half of the lectures I gave in the Nachdiplomvorlesung, in ETH, Zurich, between October 1991 and February 1992, together with the contents of six additional lectures I gave in ETH, in November and December 1993. Part I, the elder brother of the present book [Part II], aimed at the computation, as explicitly as possible, of a number of interesting functionals of Brownian motion. It may be natural that Part II, the younger brother, looks more into the main technique with which Part I was "working", namely: martingales and stochastic calculus. As F. Knight ... Read more
Product Details
Format
Paperback
Publication date
1997
Publisher
Birkhauser Verlag AG Switzerland
Number of pages
148
Condition
New
Series
Lectures in Mathematics. ETH Zurich
Number of Pages
148
Place of Publication
Basel, Switzerland
ISBN
9783764357177
SKU
V9783764357177
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
Reviews for Some Aspects of Brownian Motion
"This is a formidable book, and is meant for the specialist...this book (together with Part I) can be very rewarding, imparting a very good insight into the subtelities of martinglae theory and stochastic calculus."
The Journal of the Indian Inst. of Science "All efforts are rewarded by acknowledgment with modern point of ... Read more
The Journal of the Indian Inst. of Science "All efforts are rewarded by acknowledgment with modern point of ... Read more