Handbook of Brownian Motion - Facts and Formulae
Springer Basel (Verlag)
978-3-0348-9462-3 (ISBN)
I: Theory.- I. Stochastic processes in general.- II. Linear diffusions.- III. Stochastic calculus.- IV. Brownian motion.- V. Local time as a Markov process.- VI. Differential systems associated to Brownian motion.- Appendix 1. Briefly on some diffusions.- II: TABLES OF DISTRIBUTIONS OF FUNCTIONALS OF BROWNIAN MOTION AND RELATED PROCESSES.- 1. Brownian motion.- 2. Brownian motion with drift.- 3. Reflecting Brownian motion.- 4. Bessel process of order ?.- 5. Bessel process of order 1/2.- 6. Bessel process of order zero.- 7. Ornstein-Uhlenbeck process.- 8. Radial Ornstein-Uhlenbeck process.- 9. Geometric Brownian motion.- Appendix 2. Special functions.- Appendix 3. Inverse Laplace transforms.- Appendix 4. Differential equations and their solutions.- Appendix 5. Formulae for n-fold differentiation.
Erscheint lt. Verlag | 23.10.2012 |
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Reihe/Serie | Probability and Its Applications |
Zusatzinfo | XVI, 685 p. |
Verlagsort | Basel |
Sprache | englisch |
Maße | 155 x 235 mm |
Gewicht | 1029 g |
Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
Schlagworte | Bessel process • Brownian motion • Calculus • Geometric Brownian motion • local time • Markov process • mathematical finance • Ornstein-Uhlenbeck process • Probability • Statistics • Stochastic Calculus • Stochastic process • Stochastic Processes |
ISBN-10 | 3-0348-9462-7 / 3034894627 |
ISBN-13 | 978-3-0348-9462-3 / 9783034894623 |
Zustand | Neuware |
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