Over 100 exercises with detailed solutions, insightful notes and references for further reading. Ideal for beginning researchers.

This book focuses on the probabilistic theory ofBrownian motion. This is a good topic to center a discussion around because Brownian motion is in the intersec tioll of many fundamental classes of processes.

This book simultaneously introduces the financial methodology and the relevant mathematical tools in a style that is mathematically rigorous and yet accessible to practitioners and mathematicians alike.

This book focuses on the probabilistic theory ofBrownian motion. This is a good topic to center a discussion around because Brownian motion is in the intersec tioll of many fundamental classes of processes.

This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998.

This book presents a number of examples of such penalisations in the Brownian and Bessel processes framework.

This book focuses on special classes of Brownian functionals, including Gaussian subspaces of the Gaussian space of Brownian motion; Brownian quadratic funtionals; Brownian local times; Exponential functionals of Brownian motion with drift; ...

Part I, the elder brother of the present book [Part II], aimed at the computation, as explicitly as possible, of a number of interesting functionals of Brownian motion.

The book accordingly sets out to acquaint its readers with the theory and main examples of enlargements of filtrations, of either the initial or the progressive kind.

The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, ...