E-Book, Englisch, 685 Seiten, eBook
Borodin / Salminen Handbook of Brownian Motion - Facts and Formulae
2. Auflage 2002
ISBN: 978-3-0348-8163-0
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, 685 Seiten, eBook
Reihe: Probability and Its Applications
ISBN: 978-3-0348-8163-0
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
