Non-Fiction Books:

Aspects of Brownian Motion

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Description

Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this book is on special classes of such Brownian functionals as: - Gaussian subspaces of the Gaussian space of Brownian motion; - Brownian quadratic funtionals; - Brownian local times, - Exponential functionals of Brownian motion with drift; - Winding number of one or several Brownian motions around one or several points or a straight line, or curves; - Time spent by Brownian motion below a multiple of its one-sided supremum. Besides its obvious audience of students and lecturers the book also addresses the interests of researchers from core probability theory out to applied fields such as polymer physics and mathematical finance.

Author Biography:

MARC YOR has been Professor at the Laboratoire de Probabilites et Modeles Aleatoires at the Universite Pierre et Marie Curie, Paris, since 1981, and a member of the Academie des Sciences de Paris since 2003. His research interests -- which are well illustrated in the present book -- bear upon properties of Brownian functionals, either for pure or applied purposes. Recently, Marc Yor has also been working on the interface between number theory and random matrices. ROGER MANSUY has been teaching mathematics at the Lycee Louis le Grand, Paris, since 2006. He has been working with Marc Yor -- who was the supervisor of Roger Mansuy's PhD thesis -- in recent years. Prior to the present volume he and Marc Yor collaborated in publishing volume 1873 of the series Lecture Notes in Mathematics entitled "Random Times and Enlargements of Filtration in a Brownian setting".
Release date Australia
September 16th, 2008
Audiences
  • Postgraduate, Research & Scholarly
  • Professional & Vocational
Illustrations
XIV, 200 p.
Pages
200
Dimensions
156x234x11
ISBN-13
9783540223474
Product ID
3056463

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