Handbook of Brownian Motion - Facts and Formulae
(Sprache: Englisch)
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...
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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.
Inhaltsverzeichnis zu „Handbook of Brownian Motion - Facts and Formulae “
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.
Bibliographische Angaben
- Autoren: Andrei N Borodin , Paavo Salminen
- 2nd ed. 2002. Corr. 2nd printing 2015, 685 Seiten, Maße: 16 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer
- ISBN-10: 3764367059
- ISBN-13: 9783764367053
- Erscheinungsdatum: 14.07.2015
Sprache:
Englisch
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