Brownian Motion: An Introduction to Stochastic Processes René L. Schilling; Lothar Partzsch; Björn Böttcher by René L. Schilling; Lothar Partzsch; Björn Böttcher 9783110278989, 3110278987 instant download after payment.

Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes, Brownian motion is at the intersection of Gaussian processes, martingales, Markov processes, diffusions and random fractals, and it has influenced the study of these topics. Its central position within mathematics is matched by numerous applications in science, engineering and mathematical finance.

Often textbooks on probability theory cover, if at all, Brownian motion only briefly. On the other hand, there is a considerable gap to more specialized texts on Brownian motion which is not so easy to overcome for the novice. The authors’ aim was to write a book which can be used as an introduction to Brownian motion and stochastic calculus, and as a first course in continuous-time and continuous-state Markov processes. They also wanted to have a text which would be both a readily accessible mathematical back-up for contemporary applications (such as mathematical finance) and a foundation to get easy access to advanced monographs.

This textbook, tailored to the needs of graduate and advanced undergraduate students, covers Brownian motion, starting from its elementary properties, certain distributional aspects, path properties, and leading to stochastic calculus based on Brownian motion. It also includes numerical recipes for the simulation of Brownian motion.

• Gently introduces stochastic processes addressing a wide audience comprising mathematicians, economists, engineers and scientists
• Appropriate as a textbook for graduate courses, reading courses or for independent study
• Includes modular chapters and a "dependence chart" which will guide the readers when arranging their own digest of material
• More than 200 exercises (with solutions on the internet) help beginners to understand the material