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Aspects of Brownian Motion

Universitext

Erschienen am 16.09.2008, 1. Auflage 2008
53,49 €
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Bibliografische Daten
ISBN/EAN: 9783540223474
Sprache: Englisch
Umfang: xiv, 200 S.
Format (T/L/B): 1.4 x 23.5 x 15.6 cm
Einband: kartoniertes Buch

Beschreibung

InhaltsangabeThe 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.

Inhalt

The Gaussian Space of BM.- Quadratic Functionals of Brownian Motion.- Ray-Knight Theorems for Brownian Local Times.- On Squared Bessel Processes.- On the Ciesielski-Taylor Identities.- On the Winding Number of Planar BM.- Exponential Functionals of Brownian Motion.- Some Asymptotic Laws for Multidimensional Brownian Motion.- Some Extensions of Paul Levy''s Arc Sine Law.- Further Results about Perturbed Reflecting Brownian Motion. On Principal Values of Brownian and Bessel Local Times.- Probabilistic Representations of the Riemann Zeta Function.

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