Aspects of Brownian Motion

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;...

Descripción completa

Detalles Bibliográficos
Clasificación:Libro Electrónico
Autores principales: Mansuy, Roger (Autor), Yor, Marc (Autor)
Autor Corporativo: SpringerLink (Online service)
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2008.
Edición:1st ed. 2008.
Colección:Universitext,
Temas:
Probabilities.
Probability Theory.
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

Ejemplares similares