Aspects of Brownian Motion

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Stochastic calculus and excursion theory are very efficient tools for obtaining either exact or asymptotic results about Brownian motion and related processes.

Some Aspects of Brownian Motion

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The following notes represent approximately the second half of the lectures I gave in the Nachdiplomvorlesung, in ETH, Zurich, between October 1991 and February

Selected Aspects of Fractional Brownian Motion

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Fractional Brownian motion (fBm) is a stochastic process which deviates significantly from Brownian motion and semimartingales, and others classically used in p

Brownian Motion

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This eagerly awaited textbook covers everything the graduate student in probability wants to know about Brownian motion, as well as the latest research in the a

Brownian Motion

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Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes,