René L. Schilling, "Brownian Motion: A Guide to Random Processes and Stochastic Calculus Ed 3"
English | ISBN: 3110741253 | 2021 | 500 pages | PDF | 5 MB
Stochastic processes occur everywhere in the sciences, economics and engineering, and they need to be understood by (applied) mathematicians, engineers and scientists alike. This book gives a gentle introduction to Brownian motion and stochastic processes, in general. Brownian motion plays a special role, since it shaped the whole subject, displays most random phenomena while being still easy to treat, and is used in many real-life models. Im this new edition, much material is added, and there are new chapters on ''Wiener Chaos and Iterated Itô Integrals'' and ''Brownian Local Times''.
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