Andrei N .

Borodin
Paavo Salminen

Handbook o f
Brownian Motion -
Facts and Formulae


Preface to the first edition ix

Preface to the second edition xi
Notation xii i

Part I : THEORY

Chapter I . Stochastic processes in general 1

1. Basic definitions 1
2. Markov processes, transition functions, resolvents ,
and generators 3
3. Feller processes, Feller-Dynkin processes ,
and the strong Markov property 5
4. Martingales 7

Chapter IL Linear diffusions 12

1. Basic facts 12
2. Local time 21
3. Passage times 25
4. Additive functionals and killing 27
5. Excessive functions 32
6. Ergodic results 35

Chapter III . Stochastic calculus 38

1. Stochastic integration with respect to Brownian motion 38

2. The Ito and Tanaka formulae 42
3. Stochastic differential equations - strong solutions 44
4. Stochastic differential equations - weak solutions 46
5. One-dimensional stochastic differential equations 47
6. The Cameron-Martin-Girsanov transformation of measure 48

Chapter IV . Brownian motion 51

1. Definition and basic properties 51

2. Brownian local time 54
3. Excursions 57
4. Brownian bridge 64
5. Brownian motion with drift 67
6. Bessel processes 71
7. Geometric Brownian motion 76


Chapter V . Local time as a Markov process 81

1. Diffusion local time 81

2. Local time of Brownian motion 84
3. Local time of Brownian motion with drift 90
4. Local time of Bessel process 94
5. Summarizing tables 99

Chapter VI . Differential systems associated t o

Brownian motion 10 3

1. The Feynman-Kac formula 103

2. Exponential stopping 105
3. Stopping at first exit time 10 9
4. Stopping at inverse additive functional 11 3
5. Stopping at first range time 11 7

Appendix 1 . Briefly on some diffusions 11 9

Part II : TABLES OF DISTRIBUTIONS OF FUNCTIONAL S

OF BROWNIAN MOTION AND RELATED PROCESSE S

Introduction 145

1. List of functionals 14 6
2. Comments and references 14 8

1 . Brownian motion 15 3

1. Exponential stopping 15 3
2. Stopping at first hitting time 19 8
3. Stopping at first exit time 21 2
4. Stopping at inverse local time 22 9
5. Stopping at first range time 24 2

2 . Brownian motion with drift 25 0

1. Exponential stopping 250

2. Stopping at first hitting time 295
3. Stopping at first exit time 309
4. Stopping at inverse local time 323


3 . Reflecting Brownian motion 33 3

1. Exponential stopping 33 3
2. Stopping at first hitting time 35 5
4 . Stopping at inverse local time 36 4

4 . Bessel process of order v 373

1. Exponential stopping, v > 0 37 3

2. Stopping at first hitting time, v > 0 39 8
3. Stopping at first exit time, v > 0 40 9
4. Stopping at inverse local time, v > 0 42 0

5 . Bessel process of order 1/2 429

1. Exponential stopping 42 9
2. Stopping at first hitting time 46 3
3. Stopping at first exit time 48 0
4. Stopping at inverse local time 49 3

6 . Bessel process of order zero 50 7

2 . Stopping at first hitting time 50 7

3. Stopping at first exit time 51 2
4. Stopping at inverse local time 51 9

7 . Ornstein-Uhlenbeck process 522

1. Exponential stopping 52 2
2. Stopping at first hitting time 54 2
3. Stopping at first exit time 54 8
4. Stopping at inverse local time 55 7

8 . Radial Ornstein-Uhlenbeck process 56 5

1. Exponential stopping 56 5
2. Stopping at first hitting time 58 1
3. Stopping at first exit time 58 7
4. Stopping at inverse local time 59 7

9 . Geometric Brownian motion 60 6

1. Exponential stopping 606

2. Stopping at first hitting time 622
3. Stopping at first exit time 62 7
4. Stopping at inverse local time 63 3

Appendix 2 . Special functions 63 7

Appendix 3 . Inverse Laplace transforms 649



Appendix 4 . Differential equations and their solutions 65 2

Appendix 5 . Formulae for n-fold differentiation 65 7

Bibliography 65 9
Subject index 669