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Brownian motion [[electronic resource] ] : an introduction to stochastic processes / / René L. Schilling, Lothar Partzsch ; with a chapter on simulation by Björn Böttcher
| Brownian motion [[electronic resource] ] : an introduction to stochastic processes / / René L. Schilling, Lothar Partzsch ; with a chapter on simulation by Björn Böttcher |
| Autore | Schilling René L |
| Pubbl/distr/stampa | Berlin ; ; Boston, : De Gruyter, c2012 |
| Descrizione fisica | 1 online resource (396 p.) |
| Disciplina | 519.2/33 |
| Altri autori (Persone) |
PartzschLothar <1945->
BöttcherBjörn |
| Collana | De Gruyter graduate |
| Soggetto topico |
Brownian motion processes
Stochastic processes |
| Soggetto non controllato |
Brownian Motion
Numerical Simulation Stochastic Calculus Stochastic Process |
| ISBN |
1-283-85795-2
3-11-027898-7 |
| Classificazione | SK 820 |
| Formato | Materiale a stampa  |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- Dependence chart -- Index of notation -- Chapter 1. Robert Brown's new thing -- Chapter 2. Brownian motion as a Gaussian process -- Chapter 3. Constructions of Brownian motion -- Chapter 4. The canonical model -- Chapter 5. Brownian motion as a martingale -- Chapter 6. Brownian motion as a Markov process -- Chapter 7. Brownian motion and transition semigroups -- Chapter 8. The PDE connection -- Chapter 9. The variation of Brownian paths -- Chapter 10. Regularity of Brownian paths -- Chapter 11. The growth of Brownian paths -- Chapter 12. Strassen's Functional Law of the Iterated Logarithm -- Chapter 13. Skorokhod representation -- Chapter 14. Stochastic integrals: L2-Theory -- Chapter 15. Stochastic integrals: beyond L2T -- Chapter 16. Itô's formula -- Chapter 17. Applications of Itô's formula -- Chapter 18. Stochastic differential equations -- Chapter 19. On diffusions -- Chapter 20. Simulation of Brownian motion / Böttcher, Björn -- Appendix -- Index |
| Record Nr. | UNINA-9910790493303321 |
Schilling René L
|
||
| Berlin ; ; Boston, : De Gruyter, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||
Brownian motion : an introduction to stochastic processes / / René L. Schilling, Lothar Partzsch ; with a chapter on simulation by Björn Böttcher
| Brownian motion : an introduction to stochastic processes / / René L. Schilling, Lothar Partzsch ; with a chapter on simulation by Björn Böttcher |
| Autore | Schilling René L |
| Edizione | [1st ed.] |
| Pubbl/distr/stampa | Berlin ; ; Boston, : De Gruyter, c2012 |
| Descrizione fisica | 1 online resource (396 p.) |
| Disciplina | 519.2/33 |
| Altri autori (Persone) |
PartzschLothar <1945->
BöttcherBjörn |
| Collana | De Gruyter graduate |
| Soggetto topico |
Brownian motion processes
Stochastic processes |
| Soggetto non controllato |
Brownian Motion
Numerical Simulation Stochastic Calculus Stochastic Process |
| ISBN |
1-283-85795-2
3-11-027898-7 |
| Classificazione | SK 820 |
| Formato | Materiale a stampa |
| Livello bibliografico | Monografia |
| Lingua di pubblicazione | eng |
| Nota di contenuto | Front matter -- Preface -- Contents -- Dependence chart -- Index of notation -- Chapter 1. Robert Brown's new thing -- Chapter 2. Brownian motion as a Gaussian process -- Chapter 3. Constructions of Brownian motion -- Chapter 4. The canonical model -- Chapter 5. Brownian motion as a martingale -- Chapter 6. Brownian motion as a Markov process -- Chapter 7. Brownian motion and transition semigroups -- Chapter 8. The PDE connection -- Chapter 9. The variation of Brownian paths -- Chapter 10. Regularity of Brownian paths -- Chapter 11. The growth of Brownian paths -- Chapter 12. Strassen's Functional Law of the Iterated Logarithm -- Chapter 13. Skorokhod representation -- Chapter 14. Stochastic integrals: L2-Theory -- Chapter 15. Stochastic integrals: beyond L2T -- Chapter 16. Itô's formula -- Chapter 17. Applications of Itô's formula -- Chapter 18. Stochastic differential equations -- Chapter 19. On diffusions -- Chapter 20. Simulation of Brownian motion / Böttcher, Björn -- Appendix -- Index |
| Record Nr. | UNINA-9910812145603321 |
|
Schilling René L
|
||
| Berlin ; ; Boston, : De Gruyter, c2012 | ||
| Materiale a stampa | ||
| Lo trovi qui: Univ. Federico II | ||
| ||