Aspects of Brownian motion (Q946901)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Aspects of Brownian motion |
scientific article; zbMATH DE number 5347582
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Aspects of Brownian motion |
scientific article; zbMATH DE number 5347582 |
Statements
Aspects of Brownian motion (English)
0 references
25 September 2008
0 references
This book is a an update of the first eleven chapters of the two previously published ETH Lecture notes: [\textit{M.\ Yor}, Some aspects of Brownian motion, Part I: Some special functionals. Lectures in Mathematics, ETH Zürich. (Basel): Birkhäuser Verlag. (1992; Zbl 0779.60070)] and [Some aspects of Brownian motion, Part II: Some recent martingale problems. Lectures in Mathematics, ETH Zürich. (Basel): Birkhäuser Verlag. (1997; Zbl 0880.60082)]. The modifications performed essentially concern the completion of the bibliography (118 items). The remaining chapters of the Part II of the ETH Lecture Notes (Zbl 0880.60082) has already been updated in [\textit{R.\ Mansuy} and \textit{M.\ Yor}, Random times and enlargements of filtrations in a Brownian setting. Lecture Notes in Mathematics 1873. (Berlin): Springer. (2006; Zbl 1103.60003)].
0 references
Gaussian space
0 references
first Wiener chaos
0 references
filtration of Brownian bridges
0 references
ergodic property
0 references
space-time harmonic functions
0 references
quadratic functionals
0 references
Lévy's area formula
0 references
Ornstein--Uhlenbeck process
0 references
Fubini--Wiener integration by parts
0 references
Ray--Knight theorems
0 references
transfer principle
0 references
additivity property
0 references
Lévy--Khintchine representation
0 references
generalized meanders
0 references
Bessel bridges
0 references
Ciesielski--Taylor identities
0 references
Biane's extensions
0 references
winding numbers
0 references
Hartman--Watson distribution
0 references
Brownian lace
0 references
Asian options
0 references
confluent hypergeometric functions
0 references
beta and gamma variables
0 references
Kallianpur--Robbins ergodic theorem
0 references
Spitzer's theorem
0 references
Gauss linking number
0 references
Lévy's arc sine law
0 references
Petit's extensions
0 references
Walsh's Brownian motion
0 references
excursion theory
0 references
Feynmann--Kac formula
0 references
local time perturbation of Brownian motion
0 references
Bismut's identity
0 references
Knight's ratio formula
0 references
Hilbert transform
0 references
principal values
0 references
Yamada's formulae
0 references
Dirichlet process
0 references
Bertoin's excursion theory for BES(d)
0 references
Riemann zeta function
0 references
Jacobi theta function
0 references
convolution of hitting times
0 references
Chung's identity
0 references
