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Brownian motion processes


    World Scientific Publishing Company 2011; US$ 127.00

    This invaluable research monograph presents a unified and fascinating theory of generalized functionals of Brownian motion and other fundamental processes such as fractional Brownian motion and Levy process — covering the classical Wiener–Ito class including the generalized functionals of Hida as special cases, among others. It presents a... more...

  • Functionals of Multidimensional Diffusions with Applications to Financeby Jan Baldeaux; Eckhard Platen

    Springer 2013; US$ 129.00

    This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows... more...

  • Fractional Fields and Applicationsby Serge Cohen; Jacques Istas

    Springer 2013; US$ 49.95

    This book focuses mainly on fractional Brownian fields and their extensions. It has been used to teach graduate students at Grenoble and Toulouse's Universities. It is as self-contained as possible and contains numerous exercises, with solutions in an appendix. After a foreword by Stéphane Jaffard, a long first chapter is devoted to classical... more...

  • Contract Theory in Continuous-Time Modelsby Jak?a Cvitanic; Jianfeng Zhang

    Springer 2012; US$ 79.95

    In recent years, there has been a significant increase of interest in continuous-time Principal-Agent models, or contract theory, and their applications. Continuous-time models provide a powerful and elegant framework for solving stochastic optimization problems of finding the optimal contracts between two parties, under various assumptions on the... more...

  • Green, Brown, and Probabilityby Chung Kai Lai

    World Scientific Publishing Company 1995; US$ 36.00

    This volume shows modern probabilistic methods in action: Brownian Motion Process as applied to the electrical phenomena investigated by Green et al., beginning with the Newton–Coulomb potential and ending with solutions by first and last exits of Brownian paths from conductors. more...

  • Brownian Motionby Robert M. Mazo

    Oxford University Press 2008; US$ 74.99

    Brownian motion- the incessant motion of small particles suspended in a fluid- is an important topic in statistical physics and physical chemistry. This book studies its origin in molecular scale fluctuations, its description in terms of random process theory and also in terms of statistical mechanics. - ;Brownian motion - the incessant motion of small... more...

  • Analysis and Stochastics of Growth Processes and Interface Modelsby Peter Mörters; Roger Moser; Mathew Penrose

    Oxford University Press 2008; US$ 98.99

    This book is a collection of topical survey articles by leading researchers in the fields of applied analysis and probability theory, working on the mathematical description of growth phenomena. Particular emphasis is on the interplay of the two fields, with articles by analysts being accessible for researchers in probability, and vice versa. Mathematical... more...

  • Brownian Motionby Peter Mörters; Yuval Peres

    Cambridge University Press 2010; US$ 68.00

    Everything the graduate student in probability wants to know about Brownian motion, including the latest research in the field. more...

  • Schrödinger Equations and Diffusion Theoryby Masao Nagasawa

    Springer 2012; US$ 39.95

    Schrödinger Equations and Diffusion Theory addresses the question "What is the Schrödinger equation?" in terms of diffusion processes, and shows that the Schrödinger equation and diffusion equations in duality are equivalent. In turn, Schrödinger’s conjecture of 1931 is solved. The theory of diffusion processes for... more...

  • Selected Aspects of Fractional Brownian Motionby Ivan Nourdin

    Springer 2012; US$ 119.00

    Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in probability theory. As a centered Gaussian process, it is characterized by the stationarity of its increments and a medium- or long-memory property which is in sharp contrast with martingales... more...