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Brownian Motion
An Introduction to Stochastic Processes
Langbeschreibung
Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes, Brownian motion is at the intersection of Gaussian processes, martingales, Markov processes, diffusions and random fractals, and it has influenced the study of these topics. Its central position within mathematics is matched by numerous applications in science, engineering and mathematical finance.
Inhaltsverzeichnis
1 Robert Brown's New Thing 2 Constructions of Brownian Motion3 Brownian Motion in Rd4 The Canonical Model 5 The Variation of Brownian Paths 6 Regularity of Brownian Paths7 Brownian Motion as a Martingale8 Brownian Motion as a Markov process
René L. Schilling and Lothar Partzsch, Dresden University of Technology, Germany.
ISBN-13:
9783110278989
Veröffentl:
2012
Seiten:
394
Autor:
René L. Schilling
Serie:
De Gruyter Textbook
eBook Typ:
PDF
eBook Format:
EPUB
Kopierschutz:
0 - No protection
Sprache:
Englisch
34,95 €*
Lieferzeit: Sofort lieferbar
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