Geometric Brownian Motion

Brownian Motion, Martingales, and Stochastic Calculus  eBooks & eLearning

Posted by Underaglassmoon at June 19, 2016
Brownian Motion, Martingales, and Stochastic Calculus

Brownian Motion, Martingales, and Stochastic Calculus
Springer | Graduate Texts in Mathematics | April 29 2016 | ISBN-10: 3319310887 | 273 pages | pdf | 2.32 mb

Authors: Le Gall, Jean-François
Provides a concise and rigorous presentation of stochastic integration and stochastic calculus for continuous semimartingales
Presents major applications of stochastic calculus to Brownian motion and related stochastic processes
Includes important aspects of Markov processes with applications to stochastic differential equations and to connections with partial differential equations
Continuous Martingales and Brownian Motion (Grundlehren der mathematischen Wissenschaften) by Daniel Revuz

Continuous Martingales and Brownian Motion (Grundlehren der mathematischen Wissenschaften) by Daniel Revuz
English | Dec 1, 2010 | ISBN: 3642084001 | 607 Pages | PDF | 14 MB

This is a magnificent book! Its purpose is to describe in considerable detail a variety of techniques used by probabilists in the investigation of problems concerning Brownian motion . . .
Selected Aspects of Fractional Brownian Motion - Ivan Nourdin

Selected Aspects of Fractional Brownian Motion - Ivan Nourdin
English | 2012 | 133 Pages | ISBN: 8847028221 | PDF | 3.71 MB

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 and Markov processes…

Aspects of Brownian Motion (repost)  

Posted by libr at Sept. 18, 2014
Aspects of Brownian Motion (repost)

Aspects of Brownian Motion (Universitext) by Roger Mansuy and Marc Yor
English | 2008 | ISBN: 3540223479 | 200 pages | PDF | 1,2 MB

Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this book is on special classes of such Brownian functionals as:
Hyperbolic Dynamics and Brownian Motion: An Introduction (Oxford Mathematical Monographs)

Hyperbolic Dynamics and Brownian Motion: An Introduction (Oxford Mathematical Monographs) by Jacques Franchi and Yves Le Ja
English | 2011 | ISBN: 0199654107 | ISBN-13: 9780199654109 | 336 pages | PDF | 1,6 MB

Hyperbolic Dynamics and Brownian Motion illustrates the interplay between distinct domains of mathematics. There is no assumption that the reader is a specialist in any of these domains: only basic knowledge of linear algebra, calculus and probability theory is required.

Aspects of Brownian Motion (repost)  

Posted by interes at April 11, 2014
Aspects of Brownian Motion (repost)

Aspects of Brownian Motion (Universitext) by Roger Mansuy and Marc Yor
English | 2008 | ISBN: 3540223479 | 200 pages | PDF | 1,2 MB

Stochastic calculus and excursion theory are very efficient tools to obtain either exact or asymptotic results about Brownian motion and related processes. The emphasis of this book is on special classes of such Brownian functionals as:

Brownian Motion (repost)  

Posted by interes at April 11, 2014
Brownian Motion (repost)

Brownian Motion (Cambridge Series in Statistical and Probabilistic Mathematics) by Peter Mörters and Yuval Peres
English | ISBN: 0521760186 | 2010 | 416 pages | PDF | 4,7 MB

This eagerly awaited textbook covers everything the graduate student in probability wants to know about Brownian motion, as well as the latest research in the area. Starting with the construction of Brownian motion, the book then proceeds to sample path properties like continuity and nowhere differentiability.

Markov Processes, Brownian Motion, and Time Symmetry (Repost)  eBooks & eLearning

Posted by step778 at March 16, 2016
Markov Processes, Brownian Motion, and Time Symmetry (Repost)

Kai Lai Chung, John B. Walsh, "Markov Processes, Brownian Motion, and Time Symmetry"
2005 | pages: 443 | ISBN: 0387220267 | PDF | 16 mb
Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion (Repost)

Inference on the Hurst Parameter and the Variance of Diffusions Driven by Fractional Brownian Motion By Corinne Berzin, Alain Latour
2014 | 195 Pages | ISBN: 3319078747 | PDF | 2 MB

Essentials of Brownian Motion and Diffusion  

Posted by tanas.olesya at Nov. 6, 2015
Essentials of Brownian Motion and Diffusion

Essentials of Brownian Motion and Diffusion (Mathematical Surveys and Monographs) by Frank B. Knight
English | 15 Jun. 1981 | ISBN: 0821815180 | 212 Pages | PDF | 20 MB

This work was first drafted five years ago at the invitation of the editors of the ""Encyclopedia of Mathematics and its Applications"". However, it was found to contain insufficient physical applications for that series; hence, it has finally come to rest at the doorstep of the American Mathematical Society.