Brownian Motion and its Applications to Mathematical Analysis

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Krzysztof Burdzy - Brownian Motion and its Applications to Mathematical Analysis
Published: 2014-03-31 | ISBN: 3319043935 | PDF | 170 pages | 3 MB



These lecture notes provide an introduction to the applications of Brownian motion to analysis and, more generally, connections between Brownian motion and analysis. Brownian motion is a well-suited model for a wide range of real random phenomena, from chaotic oscillations of microscopic objects, such as flower pollen in water, to stock market fluctuations. It is also a purely abstract mathematical tool which can be used to prove theorems in "deterministic" fields of mathematics.
The notes include a brief review of Brownian motion and a section on probabilistic proofs of classical theorems in analysis. The bulk of the notes are devoted to recent (post-1990) applications of stochastic analysis to Neumann eigenfunctions, Neumann heat kernel and the heat equation in time-dependent domains.

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Tags: Mathematical, Analysis, Applications, Motion, Brownian
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