Handbook of Brownian Motion -- Facts and Formulae
By: by Andrei N. Borodin, Paavo Salminen
Contributors: Salminen, Paavo
Edition: Second edition.
Series: Probability and Its Applications; Probability and its applications
Publisher: Birkhäuser Basel; Imprint; Birkhäuser
Published: 2002
Place of publication: Basel
Language: eng
Format: [electronic resource] /
Number of pages: 672
ISBN-13: 9783034881630
Subjects: Mathematics; Distribution (Probability theory)
Description: The purpose of this book is to give an easy reference to a large number of facts and formulae associated Brownian motion. The book consists of two parts. The first one - theory part - is devoted to properties of linear diffusions in general and Brownian motion in particular. Results are given mainly without proofs. The second one - formula part - is a table of distributions of functionals of Brownian motion and related processes. The collection contains more than 2500 numbered formulae. This book is of value as a basic reference material to researchers, graduate students, and people doing applied work with Brownian motion and diffusions. It can also be used as a source of explicit examples when teaching stochastic processes. Compared with the first edition published in 1996, this second edition has been revised and considerably expanded. More than 1000 new formulae have been added to the tables and, in particular, geometric Brownian motion is covered both in the theoretical and the formula part of the book.