Aspects of brownian motion / Roger Mansuy.

By: Mansuy, RogerMaterial type: TextTextLanguage: English Series: UniversitextCopyright date: New York : Springer , 2008Edition: First EditionDescription: xiii, 195 pages : ilustrations, figures ; 24 cmISBN: 9783540223474 (softcover : alk. paper)Subject(s): Brownian motion processes | Procesos de movimiento browniano | Fluctuations (Physics) | Fluctuaciones (Física) | Distribution (Probability theory) | Distribución (Teoría de probabilidades)DDC classification: 530.475
Partial contents:
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.
Abstract: Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes.
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Libro académico Libro académico Biblioteca del Campus
530.475 M289a 2008 (Browse shelf (Opens below)) Ej. 1 Available 001353
Libro académico Libro académico Biblioteca del Campus
530.475 M289a 2008 (Browse shelf (Opens below)) Ej. 2 Available 001354
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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.

Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes.

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