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Brownian Motion : an Introduction to Stochastic Processes.
Stochastic processes occur in a large number of fields in sciences and engineering, so they need to be understood by applied mathematicians, engineers and scientists alike. This work is ideal for a first course introducing the reader gently to the subject matter of stochastic processes. It uses Brow...
| Clasificación: | Libro Electrónico |
|---|---|
| Autor principal: | |
| Otros Autores: | , |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin :
De Gruyter,
2012.
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| Colección: | De Gruyter textbook.
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| Temas: | |
| Acceso en línea: | Texto completo |
Tabla de Contenidos:
- Frontmatter
- Preface
- Contents
- Dependence chart
- Index of notation
- Chapter 1. Robert Brown's new thing
- Chapter 2. Brownian motion as a Gaussian process
- Chapter 3. Constructions of Brownian motion
- Chapter 4. The canonical model
- Chapter 5. Brownian motion as a martingale
- Chapter 6. Brownian motion as a Markov process
- Chapter 7. Brownian motion and transition semigroups
- Chapter 8. The PDE connection
- Chapter 9. The variation of Brownian paths
- Chapter 10. Regularity of Brownian paths
- Chapter 11. The growth of Brownian paths
- Chapter 12. Strassen's Functional Law of the Iterated Logarithm
- Chapter 13. Skorokhod representation
- Chapter 14. Stochastic integrals: L2-Theory
- Chapter 15. Stochastic integrals: beyond L2T
- Chapter 16. Itô's formula
- Chapter 17. Applications of Itô's formula
- Chapter 18. Stochastic differential equations
- Chapter 19. On diffusions
- Chapter 20. Simulation of Brownian motion / Böttcher, Björn
- Appendix
- Index