Brownian Motion: An Introduction to Stochastic Processes (De Gruyter Textbook) - Softcover

Schilling, René L.

Softcover

ISBN 10: 3110278898 ISBN 13: 9783110278897

Verlag: De Gruyter, 2012

Inhaltsangabe

Book by Ren L Schilling Lothar Partzsch

Über diesen Titel

Reseña del editor

Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes, Brownian motion is at the intersection of Gaussian processes, martingales, Markov processes, diffusions and random fractals, and it has influenced the study of these topics. Its central position within mathematics is matched by numerous applications in science, engineering and mathematical finance. Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors' aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs. This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.

Biografía del autor

Rene L. Schilling and Lothar Partzsch, Dresden University of Technology, Germany.

Details zur Ausgabe

• Verlag: De Gruyter
• Erscheinungsdatum: 2012
• ISBN 10: 3110278898
• ISBN 13: 9783110278897
• Einband: Tapa blanda
• Sprache: Englisch
• Anzahl der Seiten: 396