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" Brownian motion : "
by René L. Schilling, Lothar Partzsch
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BL
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| Record Number
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649646
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dltt
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| Main Entry
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Schilling, René L
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| Title & Author
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Brownian motion : : an introduction to stochastic processes /\ by René L. Schilling, Lothar Partzsch
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| Edition Statement
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1st ed
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| Publication Statement
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Berlin ;Boston :: De Gruyter,, c2012
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| Series Statement
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De Gruyter graduate
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| Page. NO
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xiv, 380 p. :: ill. ;; 24 cm
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| ISBN
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9783110278897
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: 3110278898
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: 9783110278989
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: 3110278987
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| Bibliographies/Indexes
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Includes bibliographical references and index
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| Contents
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Robert Brown's new thing -- Brownian motion as a Gaussian process -- Constructions of Brownian motion -- The canonical model -- Brownian motion as a martingale -- Brownian motion as a Markov process -- Brownian motion and transition semigroups -- The PDE connection -- The variation of Brownian paths -- Regularity of Brownian paths -- Strassen's functional law of the iterated logarithm -- Skorokhod representation -- Stochastic integrals: L²-theory -- Stochastic integrals: beyond -- Itô's formula -- Application of Itô's formula -- Stochastic differential equations -- On diffusions -- Simulation of Brownian motion / Björn Böttcher -- Appendixes: A.1. Kolmogorov's existence theorem -- A.2. A property of conditional expectations -- A.3. From discrete to continuous time martigales -- A.4. Stopping and sampling -- A.5. Remarks on Feller processes -- A.6. The Doob-Meyer decomposition -- A.7. BV functions and Riemann-Stieltjes integrals -- A.8. Some tools from analysis
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| Subject
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Brownian motion processes
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Stochastic processes
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| LC Classification
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QA274.75.S35 2012
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| Added Entry
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Partzsch, Lothar,1945-
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