Handbook of Brownian Motion: Facts and Formulae (Probability and Its Applications)

Rating:
Summary: An essential reference for Brownian motion
Review: This book is an essential reference tool for anyone working and calculating with Brownian motion and related processes.

It is divided into two halves. The first (100 pages or so) summarises some useful definitions, theorems and facts about BM, stochastic processes and diffusions.

The second (over 300 pages) is a unique collection of formulas for BM and other processes. The scope is impressively vast and the level of accuracy is very high. Processes covered include: BM, BM with drift, Bessel processes, and the OU process. Functionals of these processes include (from a list of over 25): sup, inf, occupation time, local time, rolling mean, hitting times, joint distributions of the above and many more.

A must-have for Brownian professionals.