Brownian Motion

Peter Mörters · Yuval Peres

Mar 2010 · Cambridge Series in Statistical and Probabilistic Mathematics Book 30 · Cambridge University Press

About this ebook

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.

About the author

Peter Mörters is Professor of Probability and ESPRC Advanced Research Fellow at the University of Bath. His research on Brownian motion includes identification of the tail behaviour of intersection local times (with König), the multifractal structure of intersections (with Klenke), and the exact packing gauge of double points of three-dimensional Brownian motion (with Shieh).

Yuval Peres is a Principal Researcher at Microsoft Research in Redmond, Washington. He is also an Adjunct Professor at the University of California, Berkeley and at the University of Washington. His research interests include most areas of probability theory, as well as parts of ergodic theory, game theory, and information theory.