Aspects of Brownian Motion |
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| Author:
| Mansuy, Roger
Yor, Marc |
| Series title: | Universitext Ser. |
| ISBN: | 978-3-540-22347-4 |
| Publication Date: | Sep 2008 |
| Publisher: | Springer Berlin / Heidelberg
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| Imprint: | Springer |
| Book Format: | Paperback |
| List Price: | USD $54.99 |
Book Description:
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Stochastic calculus and excursion theory are very efficient tools for obtaining either exact or asymptotic results about Brownian motion and related processes. This book focuses on special classes of Brownian functionals, including Gaussian subspaces of the Gaussian space of Brownian motion; Brownian quadratic funtionals; Brownian local times; Exponential functionals of Brownian motion with drift; Time spent by Brownian motion below a multiple of its one-sided supremum.
Stochastic calculus and excursion theory are very efficient tools for obtaining either exact or asymptotic results about Brownian motion and related processes. This book focuses on special classes of Brownian functionals, including Gaussian subspaces of the Gaussian space of Brownian motion; Brownian quadratic funtionals; Brownian local times; Exponential functionals of Brownian motion with drift; Time spent by Brownian motion below a multiple of its one-sided supremum.