Handbook of Brownian Motion - Facts and Formulae

摘要: I: Theory.- I. Stochastic processes in general.- II. Linear diffusions.- III. calculus.- IV. Brownian motion.- V. Local time as a Markov process.- VI. Differential systems associated to Appendix 1. Briefly on some II: TABLES OF DISTRIBUTIONS FUNCTIONALS BROWNIAN MOTION AND RELATED PROCESSES.- 2. motion with drift.- 3. Reflecting 4. Bessel process of order ?.- 5. 1/2.- 6. zero.- 7. Ornstein-Uhlenbeck 8. Radial 9. Geometric Special functions.- Inverse Laplace transforms.- equations and their solutions.- Formulae for n-fold differentiation.