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cover of the book Brownian Motion: A Guide to Random Processes and Stochastic Calculus

Ebook: Brownian Motion: A Guide to Random Processes and Stochastic Calculus

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16.02.2024
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Stochastic processes occur everywhere in the sciences, economics and engineering, and they need to be understood by (applied) mathematicians, engineers and scientists alike. This book gives a gentle introduction to Brownian motion and stochastic processes, in general. Brownian motion plays a special role, since it shaped the whole subject, displays most random phenomena while being still easy to treat, and is used in many real-life models. Im this new edition, much material is added, and there are new chapters on ''Wiener Chaos and Iterated Itô Integrals'' and ''Brownian Local Times''.

  • 3rd revised and extended edition
  • More than 200 exercises
  • Solutions included
  • For mathematicians, economists, engineers and scientists
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