Handbook of Brownian Motion-Facts and Formulae ( Second Edition ) by Andrei

@inproceedings{Borodin2008HandbookOB,
  title={Handbook of Brownian Motion-Facts and Formulae ( Second Edition ) by Andrei},
  author={N. I. Borodin},
  year={2008}
}
Brownian motion as well as other diffusion processes play a meaningful role in stochastic analysis. They are very important from theoretical point of view and very useful in applications. Diffusions and their local times are applied in financial mathematics, economics, engineering and stochastic optimization. Brownian motion as a stochastic process was considered by Bachelier and Einstein at the beginning of the 20 th century. However, Wiener was the first to introduce its solid mathematical… CONTINUE READING
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