Local Times And Excursion Theory For Brownian Motion
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Local Times And Excursion Theory For Brownian Motion
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Author : Ju-Yi Yen
language : en
Publisher: Springer
Release Date : 2013-10-01
Local Times And Excursion Theory For Brownian Motion written by Ju-Yi Yen and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-01 with Mathematics categories.
This monograph discusses the existence and regularity properties of local times associated to a continuous semimartingale, as well as excursion theory for Brownian paths. Realizations of Brownian excursion processes may be translated in terms of the realizations of a Wiener process under certain conditions. With this aim in mind, the monograph presents applications to topics which are not usually treated with the same tools, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula.
Foundations Of Modern Probability
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Author : Olav Kallenberg
language : en
Publisher: Springer Nature
Release Date : 2021-02-07
Foundations Of Modern Probability written by Olav Kallenberg and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-02-07 with Mathematics categories.
The first edition of this single volume on the theory of probability has become a highly-praised standard reference for many areas of probability theory. Chapters from the first edition have been revised and corrected, and this edition contains four new chapters. New material covered includes multivariate and ratio ergodic theorems, shift coupling, Palm distributions, Harris recurrence, invariant measures, and strong and weak ergodicity.
A Lifetime Of Excursions Through Random Walks And L Vy Processes
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Author : Loïc Chaumont
language : en
Publisher: Springer Nature
Release Date : 2022-01-01
A Lifetime Of Excursions Through Random Walks And L Vy Processes written by Loïc Chaumont and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-01-01 with Mathematics categories.
This collection honours Ron Doney’s work and includes invited articles by his collaborators and friends. After an introduction reviewing Ron Doney’s mathematical achievements and how they have influenced the field, the contributed papers cover both discrete-time processes, including random walks and variants thereof, and continuous-time processes, including Lévy processes and diffusions. A good number of the articles are focused on classical fluctuation theory and its ramifications, the area for which Ron Doney is best known.
Brownian Motion
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Author : Peter Mörters
language : en
Publisher: Cambridge University Press
Release Date : 2010-03-25
Brownian Motion written by Peter Mörters and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-03-25 with Mathematics categories.
This eagerly awaited textbook covers everything the graduate student in probability wants to know about Brownian motion, as well as the latest research in the area. Starting with the construction of Brownian motion, the book then proceeds to sample path properties like continuity and nowhere differentiability. Notions of fractal dimension are introduced early and are used throughout the book to describe fine properties of Brownian paths. The relation of Brownian motion and random walk is explored from several viewpoints, including a development of the theory of Brownian local times from random walk embeddings. Stochastic integration is introduced as a tool and an accessible treatment of the potential theory of Brownian motion clears the path for an extensive treatment of intersections of Brownian paths. An investigation of exceptional points on the Brownian path and an appendix on SLE processes, by Oded Schramm and Wendelin Werner, lead directly to recent research themes.
Excursions Of Markov Processes
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Author : Robert M. Blumenthal
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-12-06
Excursions Of Markov Processes written by Robert M. Blumenthal and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-12-06 with Mathematics categories.
Let {Xti t ~ O} be a Markov process in Rl, and break up the path X t into (random) component pieces consisting of the zero set ({ tlX = O}) and t the "excursions away from 0," that is pieces of path X. : T ::5 s ::5 t, with Xr- = X = 0, but X. 1= 0 for T
Continuous Martingales And Brownian Motion
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Author : Daniel Revuz
language : en
Publisher: Springer Science & Business Media
Release Date : 2004-09-07
Continuous Martingales And Brownian Motion written by Daniel Revuz and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-09-07 with Mathematics categories.
"This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion....This is THE book for a capable graduate student starting out on research in probability: the effect of working through it is as if the authors are sitting beside one, enthusiastically explaining the theory, presenting further developments as exercises." –BULLETIN OF THE L.M.S.
Handbook Of Brownian Motion Facts And Formulae
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Author : Andrei N. Borodin
language : en
Publisher: Springer Science & Business Media
Release Date : 2015-07-14
Handbook Of Brownian Motion Facts And Formulae written by Andrei N. Borodin and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-07-14 with Mathematics categories.
Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.
In Memoriam Marc Yor S Minaire De Probabilit S Xlvii
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Author : Catherine Donati-Martin
language : en
Publisher: Springer
Release Date : 2015-09-07
In Memoriam Marc Yor S Minaire De Probabilit S Xlvii written by Catherine Donati-Martin and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2015-09-07 with Mathematics categories.
This volume is dedicated to the memory of Marc Yor, who passed away in 2014. The invited contributions by his collaborators and former students bear testament to the value and diversity of his work and of his research focus, which covered broad areas of probability theory. The volume also provides personal recollections about him, and an article on his essential role concerning the Doeblin documents. With contributions by P. Salminen, J-Y. Yen & M. Yor; J. Warren; T. Funaki; J. Pitman& W. Tang; J-F. Le Gall; L. Alili, P. Graczyk & T. Zak; K. Yano & Y. Yano; D. Bakry & O. Zribi; A. Aksamit, T. Choulli & M. Jeanblanc; J. Pitman; J. Obloj, P. Spoida & N. Touzi; P. Biane; J. Najnudel; P. Fitzsimmons, Y. Le Jan & J. Rosen; L.C.G. Rogers & M. Duembgen; E. Azmoodeh, G. Peccati & G. Poly, timP-L Méliot, A. Nikeghbali; P. Baldi; N. Demni, A. Rouault & M. Zani; N. O'Connell; N. Ikeda & H. Matsumoto; A. Comtet & Y. Tourigny; P. Bougerol; L. Chaumont; L. Devroye & G. Letac; D. Stroock and M. Emery.
Paris Princeton Lectures On Mathematical Finance 2010
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Author : Areski Cousin
language : en
Publisher: Springer
Release Date : 2010-10-06
Paris Princeton Lectures On Mathematical Finance 2010 written by Areski Cousin and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-10-06 with Mathematics categories.
The Paris-Princeton Lectures in Financial Mathematics, of which this is the fourth volume, publish cutting-edge research in self-contained, expository articles from outstanding specialists - established or on the rise! The aim is to produce a series of articles that can serve as an introductory reference source for research in the field. The articles are the result of frequent exchanges between the finance and financial mathematics groups in Paris and Princeton. The present volume sets standards with five articles by: 1. Areski Cousin, Monique Jeanblanc and Jean-Paul Laurent, 2. Stéphane Crépey, 3. Olivier Guéant, Jean-Michel Lasry and Pierre-Louis Lions, 4. David Hobson and 5. Peter Tankov.
Combinatorial Stochastic Processes
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Author : Jim Pitman
language : en
Publisher: Springer Science & Business Media
Release Date : 2006-05-11
Combinatorial Stochastic Processes written by Jim Pitman and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-05-11 with Mathematics categories.
The purpose of this text is to bring graduate students specializing in probability theory to current research topics at the interface of combinatorics and stochastic processes. There is particular focus on the theory of random combinatorial structures such as partitions, permutations, trees, forests, and mappings, and connections between the asymptotic theory of enumeration of such structures and the theory of stochastic processes like Brownian motion and Poisson processes.