Brownian motion : an introduction to stochastic processes /

Mostrar otras versiones (1)
Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Schilling, René L.
Otros Autores: Partzsch, Lothar, 1945-, Böttcher, Björn
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Berlin ; Boston : De Gruyter, ©2012.
Colección:De Gruyter graduate.
Temas:
Brownian motion processes.
Stochastic processes.
Processus de mouvement brownien.
Processus stochastiques.
MATHEMATICS > Probability & Statistics > Stochastic Processes.
Brownsche Bewegung
Stochastischer Prozess
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Robert Brown's new thing
  • Brownian motion as a Gaussian process
  • Constructions of Brownian motion
  • The canonical model
  • Brownian motion as a martingale
  • Brownian motion as a Markov process
  • Brownian motion and transition semigroups
  • The PDE connection
  • The variation of Brownian paths
  • Regularity of Brownian paths
  • Strassen's functional law of the iterated logarithm
  • Skorokhod representation
  • Stochastic integrals: L²-theory
  • Stochastic integrals: beyond
  • Itô's formula
  • Application of Itô's formula
  • Stochastic differential equations
  • On diffusions
  • Simulation of Brownian motion / Björn Böttcher
  • Appendixes: A.1. Kolmogorov's existence theorem
  • A.2. A property of conditional expectations
  • A.3. From discrete to continuous time martigales
  • A.4. Stopping and sampling
  • A.5. Remarks on Feller processes
  • A.6. The Doob-Meyer decomposition
  • A.7. BV functions and Riemann-Stieltjes integrals
  • A.8. Some tools from analysis.

Ejemplares similares