Aspects of Brownian motion (Q946901)
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scientific article; zbMATH DE number 5347582
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| English | Aspects of Brownian motion |
scientific article; zbMATH DE number 5347582 |
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Aspects of Brownian motion (English)
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25 September 2008
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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)].
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Gaussian space
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first Wiener chaos
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filtration of Brownian bridges
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ergodic property
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space-time harmonic functions
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quadratic functionals
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Lévy's area formula
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Ornstein--Uhlenbeck process
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Fubini--Wiener integration by parts
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Ray--Knight theorems
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transfer principle
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additivity property
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Lévy--Khintchine representation
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generalized meanders
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Bessel bridges
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Ciesielski--Taylor identities
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Biane's extensions
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winding numbers
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Hartman--Watson distribution
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Brownian lace
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Asian options
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confluent hypergeometric functions
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beta and gamma variables
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Kallianpur--Robbins ergodic theorem
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Spitzer's theorem
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Gauss linking number
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Lévy's arc sine law
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Petit's extensions
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Walsh's Brownian motion
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excursion theory
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Feynmann--Kac formula
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local time perturbation of Brownian motion
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Bismut's identity
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Knight's ratio formula
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Hilbert transform
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principal values
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Yamada's formulae
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Dirichlet process
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Bertoin's excursion theory for BES(d)
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Riemann zeta function
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Jacobi theta function
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convolution of hitting times
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Chung's identity
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