Brownian Motion: An Introduction to Stochastic Processes (De Gruyter Graduate) - Softcover

René L. Schilling; Lothar Partzsch

Softcover

ISBN 10: 3110278898 ISBN 13: 9783110278897

Publisher: De Gruyter, 2012

Synopsis

Stochastic processes occur in a large number of fields in sciences and engineering, so they need to be understood by applied mathematicians, engineers and scientists alike. This work is ideal for a first course introducing the reader gently to the subject matter of stochastic processes. It uses Brownian motion since this is a stochastic process which is central to many applications and which allows for a treatment without too many technicalities. This text, tailored to the needs of graduate students, covers Brownian motion, its elementary properties, certain distributional aspects, path properties, as well as stochastic calculus based on Brownian motion and numerical simulation of Brownian motion. All chapters are modular and are written in a style where the lecturer can ""pick and mix"" topics. A ""dependence chart"" will guide the reader when arrange her/his own digest of material.

About this title

About the Author

René L. Schilling and Lothar Partzsch, Dresden University of Technology, Germany.

Edition details

• Publisher: De Gruyter
• Publication date: 2012
• ISBN 10: 3110278898
• ISBN 13: 9783110278897
• Binding: Paperback
• Language: English
• Number of pages: 396