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Continuous Martingales and Brownian Motion

investigation of problems concerning Brownian motion....This is THE book for a capable graduate student starting out on research in probability: the;

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Random Walk, Brownian Motion, and Martingales

processes, Brownian motion, and martingales. Building from simple examples, the authors focus on developing context and intuition before formalizing;

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Brownian Motion and Stochastic Calculus

stochastic processes in continuous time. The vehicle chosen for this exposition is Brownian motion, which is presented as the canonical example;

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Fractional Brownian Motion

This monograph studies the relationships between fractional Brownian motion (fBm) and other processes of more simple form. In particular;

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Mathematics of Probability

parameter processes, including Brownian motion, and, finally, with martingales, both discrete and continuous parameter ones. The book is a self;

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An Introduction to Stochastic Integration

of variable formula is developed for continuous martingales. Applications include a characterization of Brownian motion, Hermite polynomials;

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Seminaire de Probabilites XXIII

, - quantum probability, - branching aspects on Brownian excursions, - Brownian motion on a set of rays.;

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Brownian Motion Martingales and Stochastic Calculus

mathematical finance. Brownian Motion, Martingales, and Stochastic Calculus provides a strong theoretical background to the reader interested in such;

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Stochastic Analysis

martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and;

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Stochastic Analysis

martingales (particularly, continuous martingales of continuous paths), stochastic integrations with respect to continuous local martingales, and;

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Local Times and Excursion Theory for Brownian Motion

, e.g.: arc sine law, laws of functionals of Brownian motion, and the Feynman-Kac formula.;

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Probability

, martingales, Markov chains, ergodic theorems, and Brownian motion. Concentrating on results that are the most useful for applications, this;

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Some Aspects of Brownian Motion

: martingales and stochastic calculus. As F. Knight writes, in a review article on Part I, in which research on Brownian motion is compared to gold;

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Brownian Motion

movements, often called a particle theory. This book presents topical research in the study of Brownian motion, including Markov chains and Brownian;

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Classical Potential Theory and Its Probabilistic Counterpart

Laplace's equation and the heat equation, and Part 2 develops those parts (martingales and Brownian motion) of stochastic process theory which are;

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Stochastic Processes

Most introductory textbooks on stochastic processes which cover standard topics such as Poisson process, Brownian motion, renewal theory;

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Probability For Analysts

requires little or no background in probability theory. It emplhasizes topics of interest to analysts, including random series, martingales and;

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Continuous Exponential Martingales and BMO

In three chapters on Exponential Martingales, BMO-martingales, and Exponential of BMO, this book explains in detail the beautiful;

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Stochastic Integration Theory

(martingales, Levy processes) and important examples (Brownian motion, Poisson process).;

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Set-Indexed Martingales

, predictability, Doob-Meyer decompositions, martingale characterizations of the set-indexed Poisson process, and Brownian motion. Part Two addresses;

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Selected Aspects of Fractional Brownian Motion

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others;

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Selected Aspects of Fractional Brownian Motion

Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others;

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Theory and Statistical Applications of Stochastic Processes

Gaussian processes, Ito integration, stochastic analysis, stochastic differential equations, fractional Brownian motion and parameter estimation;

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Brownian Models of Performance and Control

Direct and to the point, this book from one of the field's leaders covers Brownian motion and stochastic calculus at the graduate level;

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Inequalities In Analysis And Probability (Third Edition)

inequalities, with sharper bounds and generalizations to the sum or the supremum of random variables, to martingales, to transformed Brownian motions;

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Brownian Motion

of Brownian paths. The relation of Brownian motion and random walk is explored from several viewpoints, including a development of the theory;

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First Look At Stochastic Processes, A

martingales. The final chapter provides a brief introduction to Brownian motion, Markov processes in continuous time and space, Poisson processes, and;

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