Brownian Motion

Everything the graduate student in probability wants to know about Brownian motion, including the latest research in the field.

Peter Mörters (Author), Yuval Peres (Author)

9780521760188, Cambridge University Press

Hardback, published 25 March 2010

416 pages, 33 b/w illus. 140 exercises
25.4 x 17.8 x 2.4 cm, 0.91 kg

'The book is, in fact, currently used as a reading course for Ph.D. students in Uppsala. A short informal check tells me that they like it. It is thorough and rigorous, yet intuitive, they enjoy the focus on sample path and geometric properties of Brownian motion … They also appreciate that it is written with enthusiasm for Brownian motion as a beautiful and fascinating object in its own right (and so do I), yet still highlighting its central role in so many other contexts.' Allan Gurr, Uppsala University

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 area. Starting with the construction of Brownian motion, the book then proceeds to sample path properties like continuity and nowhere differentiability. Notions of fractal dimension are introduced early and are used throughout the book to describe fine properties of Brownian paths. The relation of Brownian motion and random walk is explored from several viewpoints, including a development of the theory of Brownian local times from random walk embeddings. Stochastic integration is introduced as a tool and an accessible treatment of the potential theory of Brownian motion clears the path for an extensive treatment of intersections of Brownian paths. An investigation of exceptional points on the Brownian path and an appendix on SLE processes, by Oded Schramm and Wendelin Werner, lead directly to recent research themes.

Preface
Frequently used notation
Motivation
1. Brownian motion as a random function
2. Brownian motion as a strong Markov process
3. Harmonic functions, transience and recurrence
4. Hausdorff dimension: techniques and applications
5. Brownian motion and random walk
6. Brownian local time
7. Stochastic integrals and applications
8. Potential theory of Brownian motion
9. Intersections and self-intersections of Brownian paths
10. Exceptional sets for Brownian motion
Appendix A. Further developments: 11. Stochastic Loewner evolution and its applications to planar Brownian motion
Appendix B. Background and prerequisites
Hints and solutions for selected exercises
References
Index.

Subject Areas: Probability & statistics [PBT]