UID:
almafu_9958354039502883
Format:
1 online resource(xvi,408p.) :
,
illustrations.
Edition:
2nd revised and extended edition
Edition:
Electronic reproduction. Berlin : De Gruyter, 2014. Mode of access: World Wide Web.
Edition:
System requirements: Web browser.
Edition:
Access may be restricted to users at subscribing institutions.
ISBN:
9783110307306
Series Statement:
De Gruyter Textbook
Content:
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.
Note:
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 Itô’s formula --
,
18. Applications of Itô’s formula --
,
19. Stochastic differential equations --
,
20. Stratonovich’s stochastic calculus --
,
21. On diffusions --
,
22. Simulation of Brownian motion by Björn Böttcher --
,
A. Appendix --
,
Bibliography --
,
Index.
,
In English
Language:
English
DOI:
10.1515/9783110307306
URL:
https://doi.org/10.1515/9783110307306
URL:
Volltext
(lizenzpflichtig)
Bookmarklink