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Viser: Random Walk, Brownian Motion, and Martingales
Random Walk, Brownian Motion, and Martingales
Rabi Bhattacharya og Edward C. Waymire
(2021)
Sprog: Engelsk
Detaljer om varen
- Hardback
- Udgiver: Springer International Publishing AG (September 2021)
- Forfattere: Rabi Bhattacharya og Edward C. Waymire
- ISBN: 9783030789374
2. The Simple Random Walk I: Associated Boundary Value Distributions, Transience and Recurrence.-
3. The Simple Random Walk II: First Passage Times.-
4. Multidimensional Random Walk.-
5. The Poisson Process, Compound Poisson Process, and Poisson Random Field.-
6. The Kolmogorov-Chentsov Theorem and Sample Path Regularity.-
7. Random Walk, Brownian Motion and the Strong Markov Property.-
8. Coupling Methods for Markov Chains and the Renewal Theorem for Lattice Distributions.-
9. Bienyamé-Galton-Watson Simple Branching Process and Extinction.-
10. Martingales: Definitions and Examples.-
11. Optional Stopping of (Sub)Martingales.-
12. The Upcrossings Inequality and (Sub)Martingale Convergence.-
13.- Continuous Parameter Martingales.-
14. Growth of Supercritical Bienyamé-Galton-Watson Simple Branching Processes.-
15. Stochastic Calculus for Point Processes and a Martingale Characterization of the Poisson Process.-
16. First Passage Time Distributions forBrownian Motion with Drift and a Local Limit Theorem.-
17. The Functional Central Limit Theorem (FCLT).-
18. ArcSine Law Asymptotics.-
19. Brownian Motion on the Half-Line: Absorption and Reflection.-
20. The Brownian Bridge.-
21. Special Topic: Branching Random Walk, Polymers and Multiplicative Cascades.-
22. Special Topic: Bienyamé-Galton-Watson Simple Branching Process and Excursions.-
23. Special Topic: The Geometric Random Walk and the Binomial Tree Model of Mathematical Finance.-
24. Special Topic: Optimal Stopping Rules.-
25. Special Topic: A Comprehensive Renewal Theory for General Random Walks.-
26. Special Topic: Ruin Problems in Insurance.-
27. Special Topic: Fractional Brownian Motion and/or Trends: The Hurst Effect.-
28. Special Topic: Incompressible Navier-Stokes Equations and the LeJan-Sznitman Cascade.- References.- Related Textbooks and Monographs.- Symbol Definition List.- Name Index.- Index.