Post on 26-Dec-2015
transcript
Brownian MotionRené L. Schilling / Lothar PartzschISBN: 978-3-11-030729-0
© 2014 Walter de Gruyter GmbH, Berlin/Boston
Abbildungsübersicht / List of Figures
Tabellenübersicht / List of Tables
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Basic stochastic calculus (C)
2
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Basic Markov processes (M)
3
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Basic sample path properties (S)
4
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
5
Fig. 2.1. Renewal at time . The process 𝑎 𝑊𝑡 := 𝐵 +𝑡 𝑎 − 𝐵𝑎, 0, is again a BM𝑡 ⩾ 𝑑.
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 2.2. Time inversion. The process 𝑊𝑡 := 𝐵 −𝑎 𝑡 − 𝐵𝑡, [0, ], is again a BM𝑡 ∈ 𝑎 𝑑.
6
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
7
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 3.2. The first four interpolation steps in Lévy’s construction of Brownian motion.
8
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
9
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 3.4. The first few approximation steps in Donsker’s construction: = 5, 10, 100 and 1000.𝑛
10
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 3.5. Brownian paths meeting (and missing) the sets 𝐴1,..., 𝐴5 at times 𝑡1,..., 𝑡5
11
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Table 4.1. Transformations of Brownian motion.
12
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 4.1. A Brownian path meeting (and missing) the sets 𝐴1,..., 𝐴5 at times 𝑡1,..., 𝑡5
13
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 6.1. 𝑊𝑡 := 𝐵 +𝑡 𝑠 − 𝐵𝑠, 0, is a Brownian motion in the new coordinate system with origin ( , 𝑡 ⩾ 𝑠 𝐵𝑠).
14
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 6.2. Reflection upon reaching the level for the first time.𝑏
15
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 6.3. Both 𝐵𝑡 and the reflection 𝑊𝑡 are Brownian motions.
16
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 6.4. A [reflected] Brownian path visiting the [reflected] interval at time .𝑡
17
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 8.1. Exit time and position of a Brownian motion from the set .𝐷
18
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 8.2. The outer cone condition. A point is regular, if we 𝑥 ∈ 𝐷can touch it with a (truncated) cone which is in 𝐷𝑐.
19
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 8.3. Examples of singular points.
20
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 8.4. Brownian motion has to exit (0,1) before it leaves (𝔹 𝔹 𝑐𝑛𝑒1, 2).
21
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 8.5. A ‘cubistic’ version of Lebesgue’s spine.
22
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 10.1. Position of the points and and their dyadic approximations.𝑥 𝑦
23
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 10.2. Position of the points 𝑡𝑛, 𝑡 +1𝑛 and 𝑠𝑛, 𝑠 +1𝑛 relative to and .𝑡 𝑠
24
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 11.1. Exhausting the interval [ , + ] by non-overlapping dyadic intervals. 𝑡 𝑡 ℎDots “•” denote dyadic numbers. Observe that at most two dyadic intervals of any
one length can occur.
25
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 11.2. A typical excursion interval: 𝜉𝑡 and 𝜂𝑡 are the last zero before > 0 and the first zero after > 0.𝑡 𝑡
26
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
27
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 14.1. For each value 𝑆𝑛( ) of the line segment connecting 𝑡 𝐵𝑛(𝜏𝑘/ ) and 𝑛 𝐵𝑛(𝜏 +1𝑘 / ) there is some such that 𝑛 𝑢 𝑆𝑛( ) = 𝑡 𝐵𝑛( ).𝑢
28
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Fig. 15.1. Approximation of a simple function by a left-continuous simple function.
29
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
Table 17.1. Multiplication table for stochastic differentials.
30
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
31
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
32
Fig. 18.1. An increasing right-continuous function and its generalized right-continuous inverse.
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
33
Fig. 21.1. Derivation of the backward and forward Kolmogorov equations.
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
34
Fig. 22.1. Simulation of a two-dimensional -Brownian motion.𝑄
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
35
Fig. A.1. Two upcrossings over the interval [ , ].𝑎 𝑏
Brownian Motion, René L. Schilling / Lothar Partzsch ISBN 978-3-11-030729-0© 2014 Walter de Gruyter GmbH, Berlin/Boston
36
Fig. A.2. The set is covered by dyadic cubes of different generations.𝐾