From the reviews of the First Edition: "This excellent book is based on several sets of lecture notes written over a decade and has its origin in a one-semester

Here is easy reference to a wealth of facts and formulae associated with Brownian motion, collecting in one volume more than 2500 numbered formulae. The book se

Brownian motion is one of the most important stochastic processes in continuous time and with continuous state space. Within the realm of stochastic processes,

This volume shows modern probabilistic methods in action: Brownian Motion Process as applied to the electrical phenomena investigated by Green et al., beginning

Markov processes represent a universal model for a large variety of real life random evolutions. The wide flow of new ideas, tools, methods and applications con