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Brownian motion processes

  • 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...

  • Applied Diffusion Processes from Engineering to Financeby Jacques Janssen; Oronzio Manca; Raimondo Manca

    Wiley 2013; US$ 180.00

    The aim of this book is to promote interaction between engineering, finance and insurance, as these three domains have many models and methods of solution in common for solving real-life problems. The authors point out the strict inter-relations that exist among the diffusion models used in engineering, finance and insurance. In each of the three... 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...

  • 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...

  • 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...

  • Brownian Motionby René L. Schilling; Lothar Partzsch; Björn Böttcher

    De Gruyter 2012; US$ 734.00

    Stochastic processes occur in a large number of fields in sciences and engineering, so they need to be understood by applied mathematicians, engineers and scientists alike. This work is ideal for a first course introducing the reader gently to the subject matter of stochastic processes. It uses Brownian motion since this is a stochastic process which... more...

  • GENERALIZED FUNCTIONALS OF BROWNIAN MOTION AND THEIR APPLICATIONSby N. U. Ahmed

    World Scientific Publishing Company 2011; US$ 122.00

    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...

  • Brownian Motionby Peter Mörters; Yuval Peres

    Cambridge University Press 2010; US$ 61.00

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