Handbook of Brownian Motion - Facts and Formulae (Probability and its Applications) [Hardcover]

Andrei N. Borodin (Author), Paavo Salminen (Author)

Book Description

Publication Date: July 2, 2002 | ISBN-10: 3764367059 | ISBN-13: 978-3764367053 | Edition: 2nd

Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book serves as a basic reference for researchers, graduate students, and people doing applied work with Brownian motion and diffusions, and can be used as a source of explicit examples when teaching stochastic processes.

Editorial Reviews

From the Back Cover

The purpose of this book is to give an easy reference to a large number of facts and formulae associated Brownian motion. The book consists of two parts. The first one - theory part - is devoted to properties of linear diffusions in general and Brownian motion in particular. Results are given mainly without proofs. The second one - formula part - is a table of distributions of functionals of Brownian motion and related processes. The collection contains more than 2500 numbered formulae. This book is of value as a basic reference material to researchers, graduate students, and people doing applied work with Brownian motion and diffusions. It can also be used as a source of explicit examples when teaching stochastic processes. Compared with the first edition published in 1996, this second edition has been revised and considerably expanded. More than 1000 new formulae have been added to the tables and, in particular, geometric Brownian motion is covered both in the theoretical and the formula part of the book.

Product Details

• Hardcover: 687 pages
• Publisher: Birkhäuser Basel; 2nd edition (July 2, 2002)
• Language: English
• ISBN-10: 3764367059
• ISBN-13: 978-3764367053
• Product Dimensions: 9.2 x 6.4 x 1.4 inches
• Shipping Weight: 2.8 pounds (View shipping rates and policies)
• Average Customer Review: 5.0 out of 5 stars  See all reviews (1 customer review)
• Amazon Best Sellers Rank: #451,764 in Books (See Top 100 in Books)

More About the Author

Discover books, learn about writers, read author blogs, and more.

Customer Reviews

Most Helpful Customer Reviews

13 of 13 people found the following review helpful:

5.0 out of 5 stars An essential reference for Brownian motion, November 2, 2000

By 

Mr Martin Baxter (London, United Kingdom) - See all my reviews

This review is from: Handbook of Brownian Motion: Facts and Formulae (Probability and Its Applications) (Hardcover)

This book is an essential reference tool for anyone working and calculating with Brownian motion and related processes.

It is divided into two halves. The first (100 pages or so) summarises some useful definitions, theorems and facts about BM, stochastic processes and diffusions.

The second (over 300 pages) is a unique collection of formulas for BM and other processes. The scope is impressively vast and the level of accuracy is very high. Processes covered include: BM, BM with drift, Bessel processes, and the OU process. Functionals of these processes include (from a list of over 25): sup, inf, occupation time, local time, rolling mean, hitting times, joint distributions of the above and many more.

A must-have for Brownian professionals.