Brownian Motion: A Guide to Random Processes and Stochastic Calculus

ISBN-13: 9783110741254 / Angielski / Miękka / 2021 / 533 str.

René L. Schilling;Bjorn Bottcher

Opis

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''.

O autorze

René L. Schilling, Technical University Dresden, Germany.