The Resource Aspects of Brownian Motion, by Roger Mansuy, Marc Yor, (electronic resource)

Aspects of Brownian Motion, by Roger Mansuy, Marc Yor, (electronic resource)

Label
Aspects of Brownian Motion
Title
Aspects of Brownian Motion
Statement of responsibility
by Roger Mansuy, Marc Yor
Creator
Contributor
Author
Author
Subject
Language
  • eng
  • eng
Summary
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
Member of
Is Subseries of
http://library.link/vocab/creatorName
Mansuy, Roger
Dewey number
519.233
http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
  • I6laaywHvcM
  • g9cJKIerhgU
Language note
English
LC call number
  • QA273.A1-274.9
  • QA274-274.9
Literary form
non fiction
Nature of contents
dictionaries
http://library.link/vocab/relatedWorkOrContributorName
Yor, Marc.
Series statement
Universitext,
http://library.link/vocab/subjectName
  • Distribution (Probability theory
  • Probability Theory and Stochastic Processes
Label
Aspects of Brownian Motion, by Roger Mansuy, Marc Yor, (electronic resource)
Instantiates
Publication
Note
Description based upon print version of record
Carrier category
online resource
Carrier category code
cr
Content category
text
Content type code
txt
Contents
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 Lévy’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
Dimensions
unknown
Edition
1st ed. 2008.
Extent
1 online resource (204 p.)
Form of item
online
Isbn
9783540499664
Media category
computer
Media type code
c
Other control number
10.1007/978-3-540-49966-4
Specific material designation
remote
System control number
  • (CKB)1000000000491950
  • (EBL)3063158
  • (SSID)ssj0000316370
  • (PQKBManifestationID)11239008
  • (PQKBTitleCode)TC0000316370
  • (PQKBWorkID)10281776
  • (PQKB)11664761
  • (DE-He213)978-3-540-49966-4
  • (MiAaPQ)EBC3063158
  • (EXLCZ)991000000000491950
Label
Aspects of Brownian Motion, by Roger Mansuy, Marc Yor, (electronic resource)
Publication
Note
Description based upon print version of record
Carrier category
online resource
Carrier category code
cr
Content category
text
Content type code
txt
Contents
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 Lévy’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
Dimensions
unknown
Edition
1st ed. 2008.
Extent
1 online resource (204 p.)
Form of item
online
Isbn
9783540499664
Media category
computer
Media type code
c
Other control number
10.1007/978-3-540-49966-4
Specific material designation
remote
System control number
  • (CKB)1000000000491950
  • (EBL)3063158
  • (SSID)ssj0000316370
  • (PQKBManifestationID)11239008
  • (PQKBTitleCode)TC0000316370
  • (PQKBWorkID)10281776
  • (PQKB)11664761
  • (DE-He213)978-3-540-49966-4
  • (MiAaPQ)EBC3063158
  • (EXLCZ)991000000000491950

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