Screen LibraryBrownian motion : an introduction to stochastic processes /
Stochastic processes occureverywhere in sciences and engineering,and need to be understood by applied mathematicians, engineers and scientists alike.This isa first course introducing the reader gently to the subject. Brownian motions areastochastic process, central to many applications and easyto tr...
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| Main Authors: | |
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| Corporate Authors: | |
| Group Author: | |
| Published: |
De Gruyter,
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| Publisher Address: | Berlin : |
| Publication Dates: | [2014] |
| Literature type: | eBook |
| Language: | English |
| Edition: | 2nd revised and extended edition. |
| Series: |
De gruyter textbook
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| Subjects: | |
| Online Access: |
http://dx.doi.org/10.1515/9783110307306 http://www.degruyter.com/doc/cover/9783110307306.jpg |
| Summary: |
Stochastic processes occureverywhere in sciences and engineering,and need to be understood by applied mathematicians, engineers and scientists alike.This isa first course introducing the reader gently to the subject. Brownian motions areastochastic process, central to many applications and easyto treat. |
| Carrier Form: | 1 online resource(xvi,408pages) : illustrations. |
| ISBN: | 9783110307306 |
| Index Number: | QA274 |
| CLC: | O211.62 |
| Contents: |
Frontmatter -- Also of Interest -- Preface to the second edition -- Preface -- Contents -- Dependence chart -- Index of notation -- 1. Robert Brown s new thing -- 2. Brownian motion as a Gaussian process -- 3. Constructions of Brownian motion -- 4. The canonical model -- 5. Brownian motion as a martingale -- 6. Brownian motion as a Markov process -- 7. Brownian motion and transition semigroups -- 8. The PDE connection -- 9. The variation of Brownian paths -- 10. Regularity of Brownian paths -- 11. Brownian motion as a random fractal -- 12. The growth of Brownian paths -- 13. Strassen s functional law of the iterated logarithm -- 14. Skorokhod representation -- 15. Stochastic integrals: L -- 16. Stochastic integrals: beyond L -- 17 It s formula -- 18. Applications of It s formula -- 19. Stochastic differential equations -- 20. Stratonovich s stochastic calculus -- 21. On diffusions -- 22. Simulation of Brownian motion by Bj rn B ttcher -- A. Appendix -- Bibliography -- Index. |