Coverart for item
The Resource Aspects of Brownian motion, Roger Mansuy and Marc Yor

Aspects of Brownian motion, Roger Mansuy and Marc Yor

Label
Aspects of Brownian motion
Title
Aspects of Brownian motion
Statement of responsibility
Roger Mansuy and Marc Yor
Creator
Contributor
Subject
Language
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
Cataloging source
GW5XE
http://library.link/vocab/creatorName
Mansuy, Roger
Dewey number
519.233
Index
no index present
Language note
English
LC call number
QA274.75
LC item number
.M46 2007eb
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Yor, Marc
Series statement
Universitext
http://library.link/vocab/subjectName
  • Brownian motion processes
  • Brownian motion processes
  • Brownian motion processes
Label
Aspects of Brownian motion, Roger Mansuy and Marc Yor
Instantiates
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
288474541
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Isbn
9783540499664
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-540-49966-4
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-22347-4
Specific material designation
remote
System control number
(OCoLC)288474541
Label
Aspects of Brownian motion, Roger Mansuy and Marc Yor
Publication
Bibliography note
Includes bibliographical references
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
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
Control code
288474541
Dimensions
unknown
Extent
1 online resource.
Form of item
online
Isbn
9783540499664
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1007/978-3-540-49966-4
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-22347-4
Specific material designation
remote
System control number
(OCoLC)288474541

Library Locations

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      38.944491 -92.326012
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