Item description for Handbook of Brownian Motion - Facts and Formulae (Probability and its Applications) by Andrei N. Borodin...
The purpose of this book is to give an easy reference to a large number of facts and formulae associated Brownian motion. The collection contains more than 2500 numbered formulae. This book is of value as a basic reference material to researchers, graduate students, and people doing applied work with Brownian motion and diffusions. It can also be used as a source of explicit examples when teaching stochastic processes. Compared with the first edition published in 1996, this second edition has been revised and considerably expanded. More than 1000 new formulae have been added to the tables and, in particular, geometric Brownian motion is covered both in the theoretical and the formula part of the book.
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Est. Packaging Dimensions: Length: 9.21" Width: 6.38" Height: 1.42" Weight: 2.78 lbs.
Release Date Jul 2, 2002
Publisher Birkhäuser Basel
ISBN 3764367059 ISBN13 9783764367053
Availability 78 units. Availability accurate as of Oct 27, 2016 09:25.
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Reviews - What do customers think about Handbook of Brownian Motion - Facts and Formulae (Probability and its Applications)?
An essential reference for Brownian motion Nov 3, 2000
This book is an essential reference tool for anyone working and calculating with Brownian motion and related processes.
It is divided into two halves. The first (100 pages or so) summarises some useful definitions, theorems and facts about BM, stochastic processes and diffusions.
The second (over 300 pages) is a unique collection of formulas for BM and other processes. The scope is impressively vast and the level of accuracy is very high. Processes covered include: BM, BM with drift, Bessel processes, and the OU process. Functionals of these processes include (from a list of over 25): sup, inf, occupation time, local time, rolling mean, hitting times, joint distributions of the above and many more.