This work provides a detailed study of Brownian Motion, via Itô stochastic calculus. It should facilitate the reading and understanding of research papers in this area, and be of interest both to graduate students and to more advanced readers, either working primarily with stochastic processes, or in an area involving them, e.g. mathematical physics, economics. The emphasis is on methods, rather than generality with a new method or idea in each chapter.

Klappentext

This book focuses on the probabilistic theory ofBrownian motion. This is a good topic to center a discussion around because Brownian motion is in the intersec­ tioll of many fundamental classes of processes. It is a continuous martingale, a Gaussian process, a Markov process or more specifically a process with in­ dependent increments; it can actually be defined, up to simple transformations, as the real-valued, centered process with independent increments and continuous paths. It is therefore no surprise that a vast array of techniques may be success­ fully applied to its study and we, consequently, chose to organize the book in the following way. After a first chapter where Brownian motion is introduced, each of the following ones is devoted to a new technique or notion and to some of its applications to Brownian motion. Among these techniques, two are of para­ mount importance: stochastic calculus, the use ofwhich pervades the whole book and the powerful excursion theory, both of which are introduced in a self­ contained fashion and with a minimum of apparatus. They have made much easier the proofs of many results found in the epoch-making book of Itö and McKean: Diffusion Processes and their Sampie Paths, Springer (1965).

Inhalt

0. Preliminaries.- I. Introduction.- II. Martingales.- III. Markov Processes.- IV. Stochastic Integration.- V. Representation of Martingales.- VI. Local Times.- VII. Generators and Time Reversal.- VIII. Girsanov's Theorem and First Applications.- IX. Stochastic Differential Equations.- X. Additive Functionals of Brownian Motion.- XI. Bessel Processes and Ray-Knight Theorems.- XII. Excursions.- XIII. Limit Theorems in Distribution.- § 1. Gronwall's Lemma.- § 2. Distributions.- § 3. Convex Functions.- § 4. Hausdorff Measures and Dimension.- § 5. Ergodic Theory.- Index of Notation.- Index of Terms.