The Brownian Motion, Andreas L?ffler; Lutz Kruschwitz

Автор: Yor Marc
Название: Exponential Functionals of Brownian Motion and Related Processes
ISBN: 3540659439 ISBN-13(EAN): 9783540659433
Издательство: Springer
Цена: 65170.00 T
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Описание: This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving exponential functionals of LГ©vy processes are indicated. Some papers originally published in French are made available in English for the first time.

Автор: A. N Borodin и P. Salminen
Название: Handbook of Brownian motion: facts and formulae
ISBN: 3034894627 ISBN-13(EAN): 9783034894623
Издательство: Springer
Цена: 121110.00 T
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Описание: There are two parts in this book. The first part is devoted mainly to the proper- ties of linear diffusions in general and Brownian motion in particular. The second part consists of tables of distributions of functionals of Brownian motion and re- lated processes. The primary aim of this book is to give an easy reference to a large number of facts and formulae associated to Brownian motion. We have tried to do this in a "handbook-style." By this we mean that results are given without proofs but are equipped with a reference where a proof or a derivation can be found. It is our belief and experience that such a material would be very much welcome by students and people working with applications of diffusions and Brownian motion. In discussions with many of our colleagues we have found that they share this point of view. Our original plan included more things than we were able to realize. It turned out very soon when trying to put the plan into practice that the material would be too wide to be published under one cover. Excursion theory, which most of the recent results concerning linear Brownian motion and diffusions can be classified as, is only touched upon slightly here, not to mention Brownian motion in several dimensions which enters only through the discussion of Bessel processes. On the other hand, much attention is given to the theory of local time.

Автор: Rene L. Schilling, Lothar Partzsch
Название: Brownian Motion: An Introduction to Stochastic Processes
ISBN: 3110307294 ISBN-13(EAN): 9783110307290
Издательство: Walter de Gruyter
Цена: 42450.00 T
Наличие на складе: Нет в наличии.
Описание: 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. Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors’ aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs. This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.

Автор: Graham, Michael D. (university Of Wisconsin, Madison)
Название: Microhydrodynamics, brownian motion, and complex fluids
ISBN: 1107695937 ISBN-13(EAN): 9781107695931
Издательство: Cambridge Academ
Рейтинг:
Цена: 40130.00 T
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Описание: Flows of complex fluids and other soft materials are ubiquitous in nature and technology, from blood flow to advanced manufacturing. Understanding them requires knowledge from a number of areas. This book brings these topics together in a unique, self-contained and integrated treatment, allowing the reader to see them in context.

Автор: Alain-Sol Sznitman
Название: Brownian Motion, Obstacles and Random Media
ISBN: 3540645543 ISBN-13(EAN): 9783540645542
Издательство: Springer
Рейтинг:
Цена: 79190.00 T
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Описание: This book provides an account for the non-specialist of the circle of ideas, results and techniques, which grew out in the study of Brownian motion and random obstacles. It also includes an overview of known results and connections with other areas of random media, taking a highly original and personal approach throughout.

Автор: Ju-Yi Yen; Marc Yor
Название: Local Times and Excursion Theory for Brownian Motion
ISBN: 331901269X ISBN-13(EAN): 9783319012698
Издательство: Springer
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Цена: 35390.00 T
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Описание: This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths.

Автор: Biagini, Francesca Hu, Yaozhong Oksendal, Bernt Zh
Название: Stochastic calculus for fractional brownian motion and applications
ISBN: 1852339969 ISBN-13(EAN): 9781852339968
Издательство: Springer
Рейтинг:
Цена: 102480.00 T
Наличие на складе: Есть у поставщика Поставка под заказ.
Описание: Fractional Brownian motion (fBm) has been widely used to model a number of phenomena in diverse fields from biology to finance. This book presents an account of different definitions of stochastic integration for fBm, and to give applications of the resulting theory. It is suitable for students of mathematics, biology, and meteorology.

Автор: David Freedman
Название: Brownian Motion and Diffusion
ISBN: 1461565766 ISBN-13(EAN): 9781461565765
Издательство: Springer
Рейтинг:
Цена: 93160.00 T
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Описание: A long time ago I started writing a book about Markov chains, Brownian motion, and diffusion. So we made it a trilogy: Markov Chains Brownian Motion and Diffusion Approximating Countable Markov Chains familiarly - Me, B & D, and ACM. it`s written in the framework of Markov Chains.

Автор: Maurice Duits, Kurt Johansson
Название: On Mesoscopic Equilibrium for Linear Statistics in Dyson`s Brownian Motion
ISBN: 1470429640 ISBN-13(EAN): 9781470429645
Издательство: Mare Nostrum (Eurospan)
Рейтинг:
Цена: 77610.00 T
Наличие на складе: Невозможна поставка.
Описание: Studies mesoscopic fluctuations for Dyson`s Brownian motion with $\beta =2$. The authors investigate the transition on the intermediate, i.e. mesoscopic, scales. The time scales that they consider are such that the system is already in microscopic equilibrium, but have not yet reached equilibrium at the macrosopic scale.

Автор: H. Kesten; R. Durrett
Название: Random Walks, Brownian Motion, and Interacting Particle Systems
ISBN: 1461267706 ISBN-13(EAN): 9781461267706
Издательство: Springer
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Цена: 93160.00 T
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Описание: This collection of articles is dedicated to Frank Spitzer on the occasion of his 65th birthday. The articles, written by a group of his friends, colleagues, former students and coauthors, are intended to demonstrate the major influence Frank has had on probability theory for the last 30 years and most likely will have for many years to come.

Автор: Corinne Berzin; Alain Latour; Jos? R. Le?n
Название: Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion
ISBN: 3319078747 ISBN-13(EAN): 9783319078748
Издательство: Springer
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Цена: 79190.00 T
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Описание: The models studied are fractional Brownian motions and processes that derive from them through stochastic differential equations.Concerning the proofs of the limit theorems, the "Fourth Moment Theorem" is systematically used, as it produces rapid and helpful proofs that can serve as models for the future.

Автор: Revuz, Daniel Yor, Marc
Название: Continuous martingales and brownian motion
ISBN: 3642084001 ISBN-13(EAN): 9783642084003
Издательство: Springer
Рейтинг:
Цена: 93130.00 T
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Описание: From the reviews: "This is a magnificent book Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion. The great strength of Revuz and Yor is the enormous variety of calculations carried out both in the main text and also (by implication) in the exercises. ... This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises, and throwing out challenging remarks about areas awaiting further research..."
Bull.L.M.S. 24, 4 (1992) Since the first edition in 1991, an impressive variety of advances has been made in relation to the material of this book, and these are reflected in the successive editions.