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Aspects of Brownian Motion

  • Kartonierter Einband
  • 216 Seiten
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Leseprobe
Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian moti... Weiterlesen
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Beschreibung

Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this book is on special classes of such Brownian functionals as:

- Gaussian subspaces of the Gaussian space of Brownian motion;

- Brownian quadratic funtionals;

- Brownian local times,

- Exponential functionals of Brownian motion with drift;

- Winding number of one or several Brownian motions around one or several points or a straight line, or curves;

- Time spent by Brownian motion below a multiple of its one-sided supremum.

Besides its obvious audience of students and lecturers the book also addresses the interests of researchers from core probability theory out to applied fields such as polymer physics and mathematical finance.



Senior author Marc Yor is a world-leader in the field of Brownian motion and martingales

Thorough update and revision of previously published ETH Lectures



Autorentext

MARC YOR has been Professor at the Laboratoire de Probabilités et Modèles Aléatoires at the Université Pierre et Marie Curie, Paris, since 1981, and a member of the Académie des Sciences de Paris since 2003. His research interests which are well illustrated in the present book bear upon properties of Brownian functionals, either for pure or applied purposes. Recently, Marc Yor has also been working on the interface between number theory and random matrices.

ROGER MANSUY has been teaching mathematics at the Lycée Louis le Grand, Paris, since 2006. He has been working with Marc Yor who was the supervisor of Roger Mansuy's PhD thesis in recent years. Prior to the present volume he and Marc Yor collaborated in publishing volume 1873 of the series Lecture Notes in Mathematics entitled "Random Times and Enlargements of Filtration in a Brownian setting".



Inhalt
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.

Produktinformationen

Titel: Aspects of Brownian Motion
Autor:
EAN: 9783540223474
ISBN: 3540223479
Format: Kartonierter Einband
Herausgeber: Springer Berlin Heidelberg
Anzahl Seiten: 216
Gewicht: 335g
Größe: H235mm x B155mm x T11mm
Jahr: 2008
Untertitel: Englisch
Auflage: 2008

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