Aspects of Brownian motion
著者
書誌事項
Aspects of Brownian motion
（Universitext）
Springer, c2008
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注記
Includes bibliographical references (p. 189-195)
内容説明・目次
内容説明
Stochastic calculus and excursion theory are very efficient tools for obtaining either exact or asymptotic results about Brownian motion and related processes. This book focuses on special classes of Brownian functionals, including Gaussian subspaces of the Gaussian space of Brownian motion; Brownian quadratic funtionals; Brownian local times; Exponential functionals of Brownian motion with drift; Time spent by Brownian motion below a multiple of its one-sided supremum.
目次
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 Levy'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.
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