Handbook of Brownian motion : facts and formulae

Author(s)

• Borodin, A. N.
• Salminen, Paavo

Bibliographic Information

Handbook of Brownian motion : facts and formulae

Andrei N. Borodin, Paavo Salminen

（Probability and its applications）

Birkhäuser, c2002

2nd ed

Note

Includes bibliographical references (p. [659]-668) and subject index

Description and Table of Contents

Description

Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.

Table of Contents

I: Theory.- I. Stochastic processes in general.- II. Linear diffusions.- III. Stochastic calculus.- IV. Brownian motion.- V. Local time as a Markov process.- VI. Differential systems associated to Brownian motion.- Appendix 1. Briefly on some diffusions.- II: TABLES OF DISTRIBUTIONS OF FUNCTIONALS OF BROWNIAN MOTION AND RELATED PROCESSES.- 1. Brownian motion.- 2. Brownian motion with drift.- 3. Reflecting Brownian motion.- 4. Bessel process of order ?.- 5. Bessel process of order 1/2.- 6. Bessel process of order zero.- 7. Ornstein-Uhlenbeck process.- 8. Radial Ornstein-Uhlenbeck process.- 9. Geometric Brownian motion.- Appendix 2. Special functions.- Appendix 3. Inverse Laplace transforms.- Appendix 4. Differential equations and their solutions.- Appendix 5. Formulae for n-fold differentiation.

by "Nielsen BookData"

Details

• NCID: BA57739384
• ISBN:
  • 3764367059
• Country Code: sz
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Basel
• Pages/Volumes: xv, 672 p.
• Size: 24 cm
• Classification:
  • LCC : QA274.75
  • DC20 : 519.2/33
• Subject Headings:
  • LCSH : Brownian motion processes
• Parent Bibliography ID:
  • BA10668227