Some Aspects of Brownian Motion Part I : Some Special Functionals (Lectures in Mathematics. ETH Zürich) - Softcover

Marc Yor

Softcover

ISBN 10: 376432807X ISBN 13: 9783764328078

Publisher: Birkhauser Verlag, 1992

Synopsis

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 AzA(c)ma-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.

About this title

Review

"This is a formidable book, and is meant for the specialist...this book (together with Part I) can be very rewarding, imparting a very good insight into the subtelities of martinglae theory and stochastic calculus." --The Journal of the Indian Inst. of Science "All efforts are rewarded by acknowledgment with modern point of view on such a popular object as Brownian motion and on still open problems related to it." -Zeitschrift fur Mathematik

Edition details

• Publisher: Birkhauser Verlag
• Publication date: 1992
• Language: English
• ISBN 10: 376432807X
• ISBN 13: 9783764328078
• Binding: Paperback
• Edition number: 1
• Number of pages: 2