Some Aspects of Brownian Motion

Some Aspects of Brownian Motion

by Marc Yor



Temporarily Out of Stock Online

Eligible for FREE SHIPPING


Some Aspects of Brownian Motion by Marc Yor

These notes represent approximately the second half of lectures given by the author at ETH in a Nachdiplom course (winter term 1991-92), followed by six lectures in November and December 1993. They are organized in nine chapters, six of which are devoted to - expansion of filtration formulae, - Burkholder-Gundy inequalities up to any random time, - martingales which vanish on the zero set of Brownian motion, - the Azéma-Emery martingales and chaos representation, - the filtration of truncated Brownian motion, - attempts to characterize the Brownian filtration. The three remaining chapters concern principal value of diffusion local times, probabilistic representations of the Riemann zeta function, and progress made on some topics discussed in Part I. Most of the contents of this book are the objects of active research, centered on real-valued martingales and Brownian motion. This volume may be of interest to researchers either in probability theory or in more applied fields, such as mathematical finance.

Product Details

ISBN-13: 9780817628079
Publisher: Birkhauser Verlag
Publication date: 11/28/1992
Series: Lectures in Mathematics ETH Zürich
Pages: 136

Customer Reviews

Most Helpful Customer Reviews

See All Customer Reviews