Brownian Motion : : A Guide to Random Processes and Stochastic Calculus / / René L. Schilling.
Stochastic processes occur everywhere in the sciences, economics and engineering, and they need to be understood by (applied) mathematicians, engineers and scientists alike. This book gives a gentle introduction to Brownian motion and stochastic processes, in general. Brownian motion plays a special...
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| Superior document: | Title is part of eBook package: De Gruyter DG Ebook Package English 2021 |
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| Place / Publishing House: | Berlin ;, Boston : : De Gruyter, , [2021] ©2021 |
| Year of Publication: | 2021 |
| Edition: | 3rd Edition |
| Language: | English |
| Series: | De Gruyter Textbook
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| Online Access: | |
| Physical Description: | 1 online resource (XIV, 519 p.) |
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| 100 | 1 | |a Schilling, René L., |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Brownian Motion : |b A Guide to Random Processes and Stochastic Calculus / |c René L. Schilling. |
| 250 | |a 3rd Edition | ||
| 264 | 1 | |a Berlin ; |a Boston : |b De Gruyter, |c [2021] | |
| 264 | 4 | |c ©2021 | |
| 300 | |a 1 online resource (XIV, 519 p.) | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
| 338 | |a online resource |b cr |2 rdacarrier | ||
| 347 | |a text file |b PDF |2 rda | ||
| 490 | 0 | |a De Gruyter Textbook | |
| 505 | 0 | 0 | |t Frontmatter -- |t Preface -- |t Contents -- |t Dependence chart -- |t 1 Robert Brown’s new thing -- |t 2 Brownian motion as a Gaussian process -- |t 3 Constructions of Brownian motion -- |t 4 The canonical model -- |t 5 Brownian motion as a martingale -- |t 6 Brownian motion as a Markov process -- |t 7 Brownian motion and transition semigroups -- |t 8 The PDE connection -- |t 9 The variation of Brownian paths -- |t 10 Regularity of Brownian paths -- |t 11 Brownian motion as a random fractal -- |t 12 The growth of Brownian paths -- |t 13 Strassen’s functional law of the iterated logarithm -- |t 14 Skorokhod representation -- |t 15 Stochastic integrals: L2-Theory -- |t 16 Stochastic integrals: localization -- |t 17 Stochastic integrals: martingale drivers -- |t 18 Itô’s formula -- |t 19 Applications of Itô’s formula -- |t 20 Wiener Chaos and iterated Wiener–Itô integrals -- |t 21 Stochastic differential equations -- |t 22 Stratonovich’s stochastic calculus -- |t 23 On diffusions -- |t 24 Simulation of Brownian motion by Björn Böttcher -- |t A Appendix -- |t Bibliography -- |t Index |
| 506 | 0 | |a restricted access |u http://purl.org/coar/access_right/c_16ec |f online access with authorization |2 star | |
| 520 | |a Stochastic processes occur everywhere in the sciences, economics and engineering, and they need to be understood by (applied) mathematicians, engineers and scientists alike. This book gives a gentle introduction to Brownian motion and stochastic processes, in general. Brownian motion plays a special role, since it shaped the whole subject, displays most random phenomena while being still easy to treat, and is used in many real-life models. Im this new edition, much material is added, and there are new chapters on ''Wiener Chaos and Iterated Itô Integrals'' and ''Brownian Local Times''. | ||
| 530 | |a Issued also in print. | ||
| 538 | |a Mode of access: Internet via World Wide Web. | ||
| 546 | |a In English. | ||
| 588 | 0 | |a Description based on online resource; title from PDF title page (publisher's Web site, viewed 01. Dez 2022) | |
| 650 | 0 | |a Brownian motion processes. | |
| 650 | 0 | |a Stochastic processes. | |
| 650 | 4 | |a Brownsche Bewegung. | |
| 650 | 4 | |a Finanzmathematik. | |
| 650 | 4 | |a Pfadeigenschaften. | |
| 650 | 4 | |a Stochastische Prozesse. | |
| 650 | 7 | |a MATHEMATICS / Probability & Statistics / General. |2 bisacsh | |
| 700 | 1 | |a Böttcher, Björn, |e contributor. |4 ctb |4 https://id.loc.gov/vocabulary/relators/ctb | |
| 773 | 0 | 8 | |i Title is part of eBook package: |d De Gruyter |t DG Ebook Package English 2021 |z 9783110750720 |
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