Brownian Motion: An Introduction to Stochastic Processes

Brownian Motion: An Introduction to Stochastic Processes
ISBN-10
3110307308
ISBN-13
9783110307306
Series
Brownian Motion
Category
Mathematics
Pages
424
Language
English
Published
2014-06-18
Publisher
Walter de Gruyter GmbH & Co KG
Authors
René L. Schilling, Lothar Partzsch

Description

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.

Get the book

Amazon.com
Amazon.com
Search the book
eBay.com
eBay.com
Search the book

Other editions

Similar books