Aspects of Brownian Motion

• Κύριοι συγγραφείς: Mansuy, Roger (Συγγραφέας), Yor, Marc (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2008.
• Σειρά: Universitext
• Θέματα: Mathematics.; Probabilities.; Probability Theory and Stochastic Processes.

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;...

Πίνακας περιεχομένων:

• The Gaussian space of BM
• The laws of some quadratic functionals of BM
• Squares of Bessel processes and Ray-Knight theorems for Brownian local times
• An explanation and some extensions of the Ciesielski-Taylor identities
• On the winding number of planar BM
• On some exponential functionals of Brownian motion and the problem of Asian options
• Some asymptotic laws for multidimensional BM
• Some extensions of Paul Lévy’s arc sine law for BM
• Further results about reflecting Brownian motion perturbed by its local time at 0
• On principal values of Brownian and Bessel local times
• Probabilistic representations of the Riemann zeta function and some generalisations related to Bessel processes.