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Brownian Motion

  • Paolo Baldi
Chapter
Part of the Universitext book series (UTX)

Abstract

Brownian motion is a particular stochastic process which is the prototype of the class of processes which will be our main concern. Its investigation is the object of this chapter.

References

  1. Fishman, G. S. (1996). Monte Carlo. Springer Series in Operations Research. Springer-Verlag, New York. Concepts, algorithms, and applications.Google Scholar
  2. Glasserman, P. (2004). Monte Carlo methods in financial engineering, volume 53 of Applications of Mathematics (New York). Springer-Verlag, New York. Stochastic Modelling and Applied Probability.Google Scholar
  3. Kloeden, P. E. and Platen, E. (1992). Numerical solution of stochastic differential equations, volume 23 of Applications of Mathematics (New York). Springer-Verlag, Berlin.Google Scholar

Copyright information

© Springer International Publishing AG 2017

Authors and Affiliations

  • Paolo Baldi
    • 1
  1. 1.Dipartimento di MatematicaUniversità di Roma “Tor Vergata”RomaItaly

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