Handbook of Brownian Motion

Book excerpt: The purpose of this book is to give an easy reference to a large number of facts and formulae associated Brownian motion. The collection contains more than 2500 numbered formulae.This book is of value as a basic reference material to researchers, graduate students, and people doing applied work with Brownian motion and diffusions. It can also be used as a source of explicit examples when teaching stochastic processes.Compared with the first edition published in 1996, this second edition has been revised and considerably expanded. More than 1000 new formulae have been added to the tables and, in particular, geometric Brownian motion is covered both in the theoretical and the formula part of the book.