By Roger Mansuy,Marc Yor
Stochastic calculus and expedition idea are very effective instruments for acquiring both precise or asymptotic effects approximately Brownian movement and comparable procedures. This e-book makes a speciality of designated sessions of Brownian functionals, together with Gaussian subspaces of the Gaussian house of Brownian movement; Brownian quadratic funtionals; Brownian neighborhood instances; Exponential functionals of Brownian movement with waft; Time spent via Brownian movement less than a a number of of its one-sided supremum.
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Aspects of Brownian Motion (Universitext) by Roger Mansuy,Marc Yor