By Roger Mansuy,Marc Yor

Stochastic calculus and day trip conception are very effective instruments for acquiring both designated or asymptotic effects approximately Brownian movement and comparable methods. This publication makes a speciality of distinctive periods of Brownian functionals, together with Gaussian subspaces of the Gaussian house of Brownian movement; Brownian quadratic funtionals; Brownian neighborhood occasions; Exponential functionals of Brownian movement with flow; Time spent via Brownian movement lower than a a number of of its one-sided supremum.

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Aspects of Brownian Motion (Universitext) by Roger Mansuy,Marc Yor
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