Overview
- Authors:
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Andrei N. Borodin
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St. Petersburg Division, Steklov Mathematical Institute, St. Petersburg, Russia
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Paavo Salminen
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Mathematical Institute, Åbo Akademi University, Turku, Finland
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Table of contents (13 chapters)
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Theory
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- Andrei N. Borodin, Paavo Salminen
Pages 1-11
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- Andrei N. Borodin, Paavo Salminen
Pages 12-36
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- Andrei N. Borodin, Paavo Salminen
Pages 37-47
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- Andrei N. Borodin, Paavo Salminen
Pages 48-70
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- Andrei N. Borodin, Paavo Salminen
Pages 71-87
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- Andrei N. Borodin, Paavo Salminen
Pages 88-101
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Tables of Distributions of Functionals of Brownian Motion and Related Processes
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Front Matter
Pages 120-124
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- Andrei N. Borodin, Paavo Salminen
Pages 125-196
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- Andrei N. Borodin, Paavo Salminen
Pages 197-249
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- Andrei N. Borodin, Paavo Salminen
Pages 250-279
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- Andrei N. Borodin, Paavo Salminen
Pages 280-316
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- Andrei N. Borodin, Paavo Salminen
Pages 317-368
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- Andrei N. Borodin, Paavo Salminen
Pages 369-411
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- Andrei N. Borodin, Paavo Salminen
Pages 412-448
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Back Matter
Pages 454-465
About this book
There are two parts in this book. The first part is devoted mainly to the proper ties of linear diffusions in general and Brownian motion in particular. The second part consists of tables of distributions of functionals of Brownian motion and re lated processes. The primary aim of this book is to give an easy reference to a large number of facts and formulae associated to Brownian motion. We have tried to do this in a "handbook-style". By this we mean that results are given without proofs but are equipped with a reference where a proof or a derivation can be found. It is our belief and experience that such a material would be very much welcome by students and people working with applications of diffusions and Brownian motion. In discussions with many of our colleagues we have found that they share this point of view. Our original plan included more things than we were able to realize. It turned out very soon when trying to put the plan into practice that the material would be too wide to be published under one cover. Excursion theory, which most of the recent results concerning linear Brownian motion and diffusions can be classified as, is only touched upon slightly here, not to mention Brownian motion in several dimensions which enters only through the discussion of Bessel processes. On the other hand, much attention is given to the theory of local time.
Reviews
"This is an extremely useful handbook, written in the best tradition of old-fashioned scholarship... precise definitions, precisely stated results and intuitively clear explanantions... The systematic presentation...is very logical... the TeX typesetting...is pleasing to the eye throughout. The handbook is a very great service to the mathematical and scientific community."
--Mathematical Reviews
Authors and Affiliations
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St. Petersburg Division, Steklov Mathematical Institute, St. Petersburg, Russia
Andrei N. Borodin
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Mathematical Institute, Åbo Akademi University, Turku, Finland
Paavo Salminen