Brownian Motion: A Guide to Random Processes and Stochastic...

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Mathematics - Probability
Brownian Motion: A Guide to Random...

Brownian Motion: A Guide to Random Processes and Stochastic Calculus

Name: Brownian Motion: A Guide to Random Processes and Stochastic Calculus
ISBN: 9783110741278

René L. Schilling, With a Chapter on Simulation by Björn Böttcher

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Primary subject categories: • Probability theory and stochastic processes • Brownian motion

Secondary subject categories: • Stochastic integrals • Stochastic ordinary differential equations (aspects of stochastic analysis) • Transition functions, generators and resolvents • Martingales and classical analysis • Diffusion processes • Continuous-time Markov processes on general state spaces

Stochastic processes occur everywhere in sciences and engineering, and need to be understood by applied mathematicians, engineers and scientists alike. This book introduces the reader gently to the subject. Brownian motions are a stochastic process, central to many applications and easy to treat. The new edition enlarges the existing chapters and offers new full chapters on Wiener Chaos and Iterated Integrals and Brownian Local Times.

Категорії:

Mathematics - Probability

Рік:

2021

Видання:

Видавництво:

De Gruyter, Walter de Gruyter GmbH

Мова:

english

Сторінки:

535

ISBN 10: